Search Results - subject:"optimal investment and consumption"

A mean field game approach to relative investment-consumption games with habit formation

Liang, Zongxia; Zhang, Keyu - In: Mathematics and financial economics 18 (2024) 4, pp. 577-622

Persistent link: https://www.econbiz.de/10015189215

Stochastic control with inhomogeneous regime switching : application to consumption and investment with unemployment and reemployment

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Journal of mathematical economics 107 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014366223

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

Many-player games of optimal consumption and investment under relative performance criteria

Lacker, Daniel; Soret, Agathe - In: Mathematics and financial economics 14 (2020) 2, pp. 263-281

Persistent link: https://www.econbiz.de/10012240274

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

Turnpike property and convergence rate for an investment and consumption model

Bian, Baojun; Zheng, Harry - In: Mathematics and financial economics 13 (2019) 2, pp. 227-251

Persistent link: https://www.econbiz.de/10012055794

The general structure of optimal investment and consumption with small transaction costs

Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 659-703

Persistent link: https://www.econbiz.de/10011764966

Optimal investment and consumption under partial information

Lindensjö, Kristoffer - In: Mathematical methods of operations research 83 (2016) 1, pp. 87-107

Persistent link: https://www.econbiz.de/10011446622

Asymptotics for fixed transaction costs

Altarovici, Albert; Muhle-Karbe, Johannes; Soner, Halil - In: Finance and Stochastics 19 (2015) 2, pp. 363-414

<Para ID="Par1">An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value...</para>

Persistent link: https://www.econbiz.de/10011241197

Asymptotics for fixed transaction costs

Altarovici, Albert Michael; Muhle-Karbe, Johannes; … - In: Finance and stochastics 19 (2015) 2, pp. 363-414

Persistent link: https://www.econbiz.de/10011418150