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An optimal consumption-investment model with constraint on consumption
16 references·0 citing·33 second hop
An optimal consumption-investment model with constraint on consumption (2016)An optimal consumption-investment model w…Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem (2008)Finite-horizon optimal invest…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…On an Investment-Consumption Model with Transaction Costs (1996)On an Investment-Consumption …Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Consumption-Investment Models with Constraints (1994)Consumption-Investment Models…Hedging Contingent Claims with Constrained Portfolios (1993)Hedging Contingent Claims wit…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…An Optimal Investment/Consumption Model with Borrowing (1991)An Optimal Investment/Consump…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I (1983)Optimal control of diffusion …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Convex measures of risk and trading constraints (2002)Strategic Asset Allocation (2002)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Brownian Motion and Stochastic Flow Systems. (1987)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Portfolio Choice in the Presence of Housing (2004)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1993Hedging Contingent Claims with Constrained Portfolios250 cited
  • 1996On an Investment-Consumption Model with Transaction Costs180 cited
  • 1983Optimal control of diffusion processes and Hamilton-Jacobi-Bellman equations, Part I161 cited
  • 1994Consumption-Investment Models with Constraints142 cited
  • 2008Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem141 cited

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  • 1991An Optimal Investment/Consumption Model with Borrowing112 cited
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