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  • Search: subject:"Consumption–investment problem"
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Year of publication
Subject
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CAPM 3 Consumption-investment problem 3 Theorie 3 Theory 3 Stochastic process 2 Stochastischer Prozess 2 asset pricing 2 exponential utility 2 market clearing 2 mean field game 2 optimal consumption-investment problem 2 Consumption theory 1 Dual optimization problem 1 Duales Optimierungsproblem 1 Duality approach 1 Homothetic robust utility 1 Inflation 1 Investition 1 Investment 1 Jump-diffusion process 1 Konsumtheorie 1 Markov decision problem 1 Nutzen 1 Partial observation 1 Risiko 1 Risk 1 Robust statistics 1 Robustes Verfahren 1 Stochastic differential utility 1 Stochastic inflation 1 Stochastic volatility 1 Utility 1 Volatility 1 Volatilität 1 discrete-time approximation 1 dynamic risk measure 1 stochastic optimal control 1
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Online availability
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Free 5
Type of publication
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Book / Working Paper 3 Article 2
Type of publication (narrower categories)
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Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 4 Undetermined 1
Author
All
Fujii, Masaaki 2 Sekine, Masashi 2 Batbold, Bolorsuvd 1 Chen, Kexin 1 Kikuchi, Kentaro 1 Kusuda, Koji 1 Redeker, Imke 1 Wong, Hoi Ying 1 Wunderlich, Ralf 1
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Published in...
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CARF working paper 1 CIRJE discussion papers / F series 1 Discussion paper series : discussion paper 1 Finance and stochastics 1 Statistics & Risk Modeling 1
Source
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ECONIS (ZBW) 4 Other ZBW resources 1
Showing 1 - 5 of 5
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Duality in optimal consumption-investment problems with alternative data
Chen, Kexin; Wong, Hoi Ying - In: Finance and stochastics 28 (2024) 3, pp. 709-758
Persistent link: https://www.econbiz.de/10015130378
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Mean field equilibrium asset pricing model with habit formation
Fujii, Masaaki; Sekine, Masashi - 2024
Persistent link: https://www.econbiz.de/10014543859
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549675
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Cover Image
Mean field equilibrium asset pricing model with habit formation
Fujii, Masaaki; Sekine, Masashi - 2024
Persistent link: https://www.econbiz.de/10014543349
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Cover Image
Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
Redeker, Imke; Wunderlich, Ralf - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 1-21
Abstract We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial...
Persistent link: https://www.econbiz.de/10014621259
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