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Search: subject:"Optimal investment and consumption problem"
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Hamilton-Jacobi-Bellman (HJB) equation
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Optimal investment and consumption problem
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Portfolio selection
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Portfolio-Management
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Risikoaversion
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Risk aversion
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Closed-form analytical solutions
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Cointegration
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Consumption theory
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Estimation theory
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Exponential utility
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Horizon effect
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Investition
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Investment
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Kointegration
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Konsumtheorie
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Nutzen
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Nutzenfunktion
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Nutzentheorie
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Private consumption
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Privater Konsum
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Schätztheorie
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Stochastic process
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Stochastischer Prozess
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Utility function
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English
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Ma, Guiyuan
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Zhu, Song-Ping
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Computational economics
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Quantitative finance
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ECONIS (ZBW)
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Revisiting the Merton problem : from HARA to CARA utility
Ma, Guiyuan
;
Zhu, Song-Ping
- In:
Computational economics
59
(
2022
)
2
,
pp. 651-686
Persistent link: https://www.econbiz.de/10013169029
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2
Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan
;
Zhu, Song-Ping
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
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