Optimal consumption and investment problem with random horizon in a BMAP model
Xu Chen; Xiang-qun Yang
| Year of publication: |
2015
|
|---|---|
| Authors: | Chen, Xu ; Yang, Xiang-qun |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 197-205
|
| Subject: | Optimal consumption and investment | Random horizon | BMAP | Bellman equation | Markov decision process | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Investition | Investment | Konsumtheorie | Consumption theory | Nachfragetheorie des Haushalts | Consumer demand theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010515884