A new approach to stochastic optimization: the investment-consumption model

We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.

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Year of publication:	2009-12-14
Authors:	Moawia, Alghalith

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Moawia, Alghalith (2009): A new approach to stochastic optimization: the investment-consumption model.
Classification:	G11 - Portfolio Choice
Source:	BASE

Persistent link: https://www.econbiz.de/10015219607