Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and Stochastics 19 (2015) 2, pp. 415-448
<Para ID="Par1">This paper deals with an investment–consumption portfolio problem when the current utility depends also on the wealth process. Such problems arise e.g. in portfolio optimization with random horizon or random trading times. To overcome the difficulties of the problem, a dual approach is...</para>
