Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
type: Item
instance of: scholarly article
title: Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
zbMATH Open document ID: 1394.91329
author: Hao Chang
author: Kai Chang
published in: Insurance Mathematics \& Economics
publication date: 2017-01-31T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6679047
zbMATH Keywords: consumption-investment problem
zbMATH Keywords: Vasicek model
zbMATH Keywords: HARA utility
zbMATH Keywords: dynamic programming principle
zbMATH Keywords: Legendre transform
zbMATH Keywords: closed-form solution
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2016.10.014
OpenAlex ID: W2560695688
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DOI: 10.1016/J.INSMATHECO.2016.10.014
description: scientific article; zbMATH DE number 6679047