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ArticleOptimization of consumption with labor income

Nicole El Karoui1998

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Articlegreen1998

Optimization of consumption with labor income

Nicole El Karoui · Monique Jeanblanc

185 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1997Backward Stochastic Differential Equations in Finance 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1986Explicit Solution of a General Consumption/Investment Problem 1989Optimization Problems in the Theory of Continuous Trading 1997Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income 1997Hedging in incomplete markets with HARA utility

Cited by

2003Optimal consumption from investment and random endowment in incomplete semimartingale markets 2004Optimal portfolio management with American capital guarantee 2002Optimal Investment in Incomplete Financial Markets 2008Optimal lifetime consumption and investment under a drawdown constraint 2003Dynamic Equilibrium with Liquidity Constraints

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Details

Year1998

Typearticle

Published1998-08-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations185

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050048

openalex_workW2017141753

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