Optimal consumption and portfolio choice with ambiguous interest rates and volatility
From MaRDI portal
Publication:825169
DOI10.1007/s00199-020-01306-9zbMath1484.91434OpenAlexW3086740916MaRDI QIDQ825169
Publication date: 17 December 2021
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-020-01306-9
uncertaintyHamilton-Jacobi-Bellman equationstochastic optimizationsupermartingalesportfolio choicelife-cycle model: Merton problem
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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