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Optimization of consumption with labor income
8 references·16 citing·36 second hop
Optimization of consumption with labor income (1998)Optimization of consumption with labor in…Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income (1997)Optimal Consumption and Equil…Hedging in incomplete markets with HARA utility (1997)Hedging in incomplete markets…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…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…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…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk (2017)Asset allocation under loss a…Optimal investment, consumption and retirement decision with disutility and borrowing constraints (2010)Optimal investment, consumpti…Optimal investment for a pension fund under inflation risk (2009)Optimal investment for a pens…Life-Cycle Finance and the Design of Pension Plans (2009)Life-Cycle Finance and the De…Optimal lifetime consumption and investment under a drawdown constraint (2008)Optimal lifetime consumption …The Theory of Life-Cycle Saving and Investing (2007)The Theory of Life-Cycle Savi…Dynamic Portfolio Choice and Risk Aversion (2006)Dynamic Portfolio Choice and …Utility maximization with a stochastic clock and an unbounded random endowment (2005)Utility maximization with a s…A Quantitative Model of Sudden Stops and External Liquidity Management (2005)A Quantitative Model of Sudde…A Quantitative Model of Sudden Stops and External Liquidity Management (2005)A Quantitative Model of Sudde…Optimal portfolio management with American capital guarantee (2004)Optimal portfolio management …Optimal design of the guarantee for defined contribution funds (2004)Optimal design of the guarant…Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)Optimal consumption from inve…Dynamic Equilibrium with Liquidity Constraints (2003)Dynamic Equilibrium with Liqu…Optimal Investment in Incomplete Financial Markets (2002)Optimal Investment in Incompl…Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints (2000)Optimal consumption/investmen…The Pricing of Options and Corporate Liabilities (1973)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)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Utility maximization in incomplete markets with random endowment (2001)Controlled Markov Processes and Viscosity Solutions (2005)Heterogeneity and Portfolio Choice: Theory and Evidence (2010)An Intertemporal Capital Asset Pricing Model (1973)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Theory of Rational Option Pricing (1973)A generalized clark representation formula, with application to optimal portfolios (1991)Anticipative portfolio optimization (1996)A two-person dynamic equilibrium under ambiguity (2003)Methods of Mathematical Finance (1998)CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009)Omega performance measure and portfolio insurance (2010)Pension funds with a minimum guarantee: a stochastic control approach (2010)Optimal investment with random endowments in incomplete markets (2004)Option Pricing: Valuation Models and Applications (2004)Portfolio choice under dynamic investment performance criteria (2009)VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)Correlation Risk and Optimal Portfolio Choice (2010)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 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
  • 1997Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income277 cited
  • 1997Hedging in incomplete markets with HARA utility246 cited

Cited by

  • 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets177 cited
  • 2004Optimal portfolio management with American capital guarantee116 cited
  • 2002Optimal Investment in Incomplete Financial Markets99 cited
  • 2008Optimal lifetime consumption and investment under a drawdown constraint97 cited
  • 2003Dynamic Equilibrium with Liquidity Constraints93 cited
  • 2004Optimal design of the guarantee for defined contribution funds88 cited
  • 2009

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Optimal investment for a pension fund under inflation risk
75 cited
  • 2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk74 cited
  • 2000Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints69 cited
  • 2005Utility maximization with a stochastic clock and an unbounded random endowment51 cited
  • 2005A Quantitative Model of Sudden Stops and External Liquidity Management49 cited
  • 2009Life-Cycle Finance and the Design of Pension Plans47 cited
  • 2006Dynamic Portfolio Choice and Risk Aversion47 cited
  • 2007The Theory of Life-Cycle Saving and Investing45 cited
  • 2010Optimal investment, consumption and retirement decision with disutility and borrowing constraints43 cited
  • 2005A Quantitative Model of Sudden Stops and External Liquidity Management43 cited