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Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
14 references·7 citing·36 second hop
Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy (1992)Explicit solution of a general consumptio…Stochastic Differential Equations (2006)Stochastic Differential Equat…Continuous-Time Finance. (1991)Continuous-Time Finance.An Optimal Investment/Consumption Model with Borrowing (1991)An Optimal Investment/Consump…Security Markets, Stochastic Models. (1990)Security Markets, Stochastic …Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model (1990)Existence and Uniqueness of M…Security Markets: Stochastic Models. (1989)Security Markets: Stochastic …Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…A note on Merton's “Optimum Consumption and Portfolio Rules in a continuous-Time Model” (1988)A note on Merton's “Optimum C…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy (1983)Optimal Consumption and Inves…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Dynamic asset allocation when bequests are luxury goods (2013)Dynamic asset allocation when…Optimal consumption and portfolio selection problem with downside consumption constraints (2007)Optimal consumption and portf…Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems (2006)Stochastic Processes, Optimiz…Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption (2005)Role of index bonds in an opt…Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy (2004)Optimal Bankruptcy Time and C…Dynamic Asset Allocation (2003)Dynamic Asset AllocationConsumption and investment under constraints (1994)Consumption and investment un…Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The term structure of interest rates in a pure exchange economy with heterogeneous investors (1995)A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk (2000)Asset pricing with heterogeneous beliefs (2005)Brownian Motion and Stochastic Calculus (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Hedging in incomplete markets with HARA utility (1997)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Theory of Rational Option Pricing (1973)A generalized clark representation formula, with application to optimal portfolios (1991)OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)A two-person dynamic equilibrium under ambiguity (2003)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)An introduction to general equilibrium with incomplete asset markets (1990)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Stock price volatility and equity premium (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited
  • 1989Security Markets: Stochastic Models.275 cited
  • 1990Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model230 cited
  • 1991An Optimal Investment/Consumption Model with Borrowing112 cited
  • 1990Security Markets, Stochastic Models.81 cited
  • 1988A note on Merton's “Optimum Consumption and Portfolio Rules in a continuous-Time Model”72 cited
  • 1983Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy59 cited

Cited by

  • 2006Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

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44 cited
  • 2007Optimal consumption and portfolio selection problem with downside consumption constraints34 cited
  • 2004Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy33 cited
  • 2005Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption31 cited
  • 2013Dynamic asset allocation when bequests are luxury goods30 cited
  • 1994Consumption and investment under constraints24 cited
  • 2003Dynamic Asset Allocation23 cited