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We present a new model of forward dynamic utilities. In doing so, we provide unique (viscosity) solutions. In addition, we introduce Hausdorff-continuous viscosity solutions to the portfolio model.
Persistent link: https://www.econbiz.de/10008633344
We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or …
Persistent link: https://www.econbiz.de/10008587467
In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal...
Persistent link: https://www.econbiz.de/10008457184