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On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution
16 references·0 citing·35 second hop
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References

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  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2002Risk-sensitive portfolio optimization on infinite time horizon95 cited
  • 2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models

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  • 2004An Application of Stochastic Control Theory to Financial Economics86 cited
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