Finite horizon portfolio selection problems with stochastic borrowing constraints
type: Item
instance of: scholarly article
title: Finite horizon portfolio selection problems with stochastic borrowing constraints
zbMATH Open document ID: 1474.91177
author: Junkee Jeon
published in: Journal of Industrial and Management Optimization
publication date: 2021-06-09T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 7356905
zbMATH Keywords: consumption and investment
zbMATH Keywords: stochastic borrowing constraint
zbMATH Keywords: stochastic income
zbMATH Keywords: optimal-stopping problem
zbMATH Keywords: variational inequality
zbMATH Keywords: martingale method
MaRDI profile type: Publication
full work available at URL: jimo.2019132
OpenAlex ID: W2982441366
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DOI: 10.3934/JIMO.2019132
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description: scientific article; zbMATH DE number 7356905