Consumption-portfolio optimization with recursive utility in incomplete markets
type: Item
instance of: scholarly article
title: Consumption-portfolio optimization with recursive utility in incomplete markets
zbMATH Open document ID: 1257.91042
author: Holger Kraft
author: Frank Thomas Seifried
author: Mogens Steffensen
published in: Finance and Stochastics
publication date: 2013-02-07T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 6135145
zbMATH Keywords: consumption-portfolio optimization
zbMATH Keywords: recursive utility
zbMATH Keywords: stochastic control approach
zbMATH Keywords: stochastic volatility
zbMATH Keywords: unspanned state process
zbMATH Keywords: Campbell-Shiller approximation
MaRDI profile type: Publication
full work available at URL: s00780-012-0184-1
OpenAlex ID: W3125005772
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DOI: 10.1007/S00780-012-0184-1
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description: scientific article; zbMATH DE number 6135145