Explicit solutions to an optimal portfolio choice problem with stochastic income
type: Item
instance of: scholarly article
title: Explicit solutions to an optimal portfolio choice problem with stochastic income
zbMATH Open document ID: 1198.91188
author: Vicky Henderson
publication date: 2008-11-25T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 5373099
zbMATH Keywords: incomplete markets
zbMATH Keywords: stochastic income
zbMATH Keywords: labor income
zbMATH Keywords: optimal portfolio choice
zbMATH Keywords: asset allocation
zbMATH Keywords: wage income
zbMATH Keywords: mean-reversion
MaRDI profile type: Publication
full work available at URL: j.jedc.2004.07.004
OpenAlex ID: W2052313741
cites work: Consumption and Portfolio Decisions when Expected Returns are Time Varying
cites work: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
cites work: Q4794153
cites work: Optimal hedging and equilibrium in a dynamic futures market
cites work: Optimal Investment With Undiversifiable Income Risk
cites work: Hedging in incomplete markets with HARA utility
cites work: Changes in Background Risk and Risk Taking Behavior
cites work: Risk Vulnerability and the Tempering Effect of Background Risk
cites work: Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
cites work: VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
cites work: Q3994411
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: Standard Risk Aversion
cites work: Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
cites work: Optimal Hedging and Valuation of Nontraded Assets
cites work: Optimal investment and consumption models with non-linear stock dynamics
cites work: A solution approach to valuation with unhedgeable risks
DOI: 10.1016/J.JEDC.2004.07.004
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5373099