Optimal consumption and investment under time-varying relative risk aversion
type: Item
instance of: scholarly article
title: Optimal consumption and investment under time-varying relative risk aversion
zbMATH Open document ID: 1209.91153
author: Mogens Steffensen
publication date: 2011-03-31T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 5872817
zbMATH Keywords: Merton's problem
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: marginal indirect utility
zbMATH Keywords: life-cycle investment
MaRDI profile type: Publication
full work available at URL: j.jedc.2010.12.007
OpenAlex ID: W3125287526
cites work: The investment horizon problem: a possible resolution
cites work: PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
DOI: 10.1016/J.JEDC.2010.12.007
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5872817