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Optimal consumption-investment strategy under the Vasicek model : HARA utility and Legendre transform

Chang, Hao; Chang, Kai - In: Insurance / Mathematics & economics 72 (2017), pp. 215-227

Persistent link: https://www.econbiz.de/10011694631

Consumption-investment problem with transaction costs for Lévy-driven price processes

Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740

Persistent link: https://www.econbiz.de/10011531437

Consumption–investment strategies with non-exponential discounting and logarithmic utility

Zhao, Qian; Shen, Yang; Wei, Jiaqin - In: European Journal of Operational Research 238 (2014) 3, pp. 824-835

In this paper, we revisit the consumption–investment problem with a general discount function and a logarithmic utility …

Persistent link: https://www.econbiz.de/10010785316

Consumption-investment strategies with non-exponential discounting and logarithmic utility

Zhao, Qian; Shen, Yang; Wei, Jiaqin - In: European journal of operational research : EJOR 238 (2014) 3, pp. 824-835

Persistent link: https://www.econbiz.de/10010401598

A geometric approach to portfolio optimization in models with transaction costs

Kabanov, Yuri; Klüppelberg, Claudia - In: Finance and Stochastics 8 (2004) 2, pp. 207-227

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism...

Persistent link: https://www.econbiz.de/10005390704