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  • Search: subject:"Consumption–investment problem"
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Year of publication
Subject
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Consumption-investment problem 8 Theorie 7 Theory 7 Stochastic process 6 Stochastischer Prozess 6 Intertemporal choice 4 Intertemporale Entscheidung 4 Nutzen 4 Utility 4 CAPM 3 Consumption theory 3 Discounting 3 Diskontierung 3 Konsumtheorie 3 Portfolio selection 3 Portfolio-Management 3 BSDEs 2 Consumption–investment problem 2 Dynamic programming 2 Dynamische Optimierung 2 HJB equation 2 Lévy process 2 Multi-person differential game 2 Non-exponential discounting 2 Nutzenfunktion 2 Option pricing theory 2 Optionspreistheorie 2 Recursive utility 2 Risiko 2 Risk 2 Stochastic differential utility 2 Time-inconsistency 2 Transaction costs 2 Transaktionskosten 2 Utility function 2 asset pricing 2 consumption-investment problem 2 exponential utility 2 market clearing 2 mean field game 2
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Online availability
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Undetermined 9 Free 5
Type of publication
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Article 12 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3
Language
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English 12 Undetermined 3
Author
All
Fujii, Masaaki 2 Sekine, Masashi 2 Shen, Yang 2 Shigeta, Yuki 2 Wei, Jiaqin 2 Zhao, Qian 2 Aurand, Joshua 1 Batbold, Bolorsuvd 1 Chang, Hao 1 Chang, Kai 1 Chen, Kexin 1 Huang, Yu-Jui 1 Kabanov, Jurij M. 1 Kabanov, Yuri 1 Kikuchi, Kentaro 1 Klüppelberg, Claudia 1 Kusuda, Koji 1 Lepinette, E. 1 Liang, Zongxia 1 Lépinette, Emmanuel 1 Ma, Ming 1 Redeker, Imke 1 Tran, T. Q. 1 Vallière, Dimitri De 1 Wong, Hoi Ying 1 Wunderlich, Ralf 1
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Published in...
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Finance and stochastics 2 Mathematics and financial economics 2 CARF working paper 1 CIRJE discussion papers / F series 1 Discussion paper series : discussion paper 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Finance and Stochastics 1 Insurance / Mathematics & economics 1 Journal of economic dynamics & control 1 Journal of economic theory 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Statistics & Risk Modeling 1
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Source
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ECONIS (ZBW) 12 RePEc 2 Other ZBW resources 1
Showing 1 - 10 of 15
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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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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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Epstein-Zin utility maximization on a random horizon
Aurand, Joshua; Huang, Yu-Jui - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1370-1411
Persistent link: https://www.econbiz.de/10014370670
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Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
Shigeta, Yuki - In: Journal of economic theory 204 (2022), pp. 1-58
Persistent link: https://www.econbiz.de/10013473619
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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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Consumption-investment optimization problem in a Lévy financial model with transaction costs and làdlàg strategies
Lepinette, E.; Tran, T. Q. - In: Mathematics and financial economics 14 (2020) 3, pp. 399-431
Persistent link: https://www.econbiz.de/10012240301
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Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
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Consumption-investment problem with pathwise ambiguity under logarithmic utility
Liang, Zongxia; Ma, Ming - In: Mathematics and financial economics 13 (2019) 4, pp. 519-541
Persistent link: https://www.econbiz.de/10012055872
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