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Explicit solutions to an optimal portfolio choice problem with stochastic income · Study

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ArticleExplicit solutions to an optimal portfolio choice problem with stochastic income

Vicky Henderson2004

Article2004

Explicit solutions to an optimal portfolio choice problem with stochastic income

Vicky Henderson

88 citations·0/0 files stored·Journal of Economic Dynamics and Control

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 88 citations exist upstream.

References

1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1993Dynamic Asset Pricing Theory.2002Strategic Asset Allocation 1992Labor supply flexibility and portfolio choice in a life cycle model 2000Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying 1991Standard Risk Aversion

Cited by

2011The Costs of Suboptimal Dynamic Asset Allocation: General Results and Applications to Interest Rate Risk, Stock Volatility Risk, and Growth/Value Tilts 2011Saving rates and portfolio choice with subsistence consumption 2004Explicit solutions of some utility maximization problems in incomplete markets 2013Unemployment Risks and Optimal Retirement in an Incomplete Market 2012Dynamic Hedging in Incomplete Markets: A Simple Solution 2012Solving Constrained Consumption–Investment Problems by Simulation of Artificial Market Strategies 2008Market Consistent Pricing of Insurance Products 2010Real Options Games in Complete and Incomplete Markets with Several Decision Makers

Details

Year2004

Typearticle

Published2004-12-15

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations88

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jedc.2004.07.004

openalex_workW2052313741

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