Optimal consumption-investment strategy under the Vasicek model : HARA utility and Legendre transform
Hao Chang, Kai Chang
| Year of publication: |
January 2017
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|---|---|
| Authors: | Chang, Hao ; Chang, Kai |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 215-227
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| Subject: | Consumption–investment problem | The Vasicek model | HARA utility | Dynamic programming principle | Legendre transform | Closed-form solution | Theorie | Theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.10.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011694631