Consumption-portfolio optimization with recursive utility in incomplete markets
Year of publication: |
2013
|
---|---|
Authors: | Kraft, Holger ; Seifried, Frank Thomas ; Steffensen, Mogens |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 1, p. 161-196
|
Subject: | Unvollkommener Markt | Incomplete market | Theorie | Theory | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Nutzen | Utility | Intertemporale Entscheidung | Intertemporal choice |
-
Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets
Kraft, Holger, (2011)
-
Two idiosyncratic trees with recursive utility
Chung, Chune Young, (2012)
-
Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki, (2020)
- More ...
-
Consumption and Wage Humps in a Life-Cycle Model with Education
Kraft, Holger, (2017)
-
Consumption and Wage Humps in a Life-Cycle Model with Education
Kraft, Holger, (2019)
-
Consumption and wage humps in a life-cycle model with education
Kraft, Holger, (2014)
- More ...