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The opportunity process for optimal consumption and investment with power utility · Study

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ArticleThe opportunity process for optimal consumption and investment with power utility

Marcel Nutz2010

OA

Articlegreen2010

The opportunity process for optimal consumption and investment with power utility

32 citations·0/0 files stored·Mathematics and Financial Economics

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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 2003Limit Theorems for Stochastic Processes 1998Methods of Mathematical Finance 2001The Economics of Risk and Time 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1996Dynamic Nonmyopic Portfolio Behavior 1998The fundamental theorem of asset pricing for unbounded stochastic processes 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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2012The Bellman equation for power utility maximization with semimartingales 2010Risk aversion asymptotics for power utility maximization

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2012The Bellman equation for power utility maximization with semimartingalesarticle · 9 shared references 2010Stochastic Partial Differential Equations and Portfolio Choicechapter · 7 shared references 2014Necessary and sufficient conditions in the problem of optimal investment with intermediate consumptionarticle · 7 shared references 2009Optimal asset allocation in a stochastic factor model – an overview and open problemschapter · 7 shared references 2010Risk aversion asymptotics for power utility maximizationarticle · 7 shared references 2004Optimal investment with random endowments in incomplete marketsarticle · 6 shared references

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Year2010

Typearticle

Published2010-06-16

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations32

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-010-0031-0

openalex_workW2116572559

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