A new approach to stochastic optimization: the investment-consumption model
AbstractWe derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19315.
Date of creation: 14 Dec 2009
Date of revision:
portfolio; investment; stochastic optimization;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Alghalith, Moawia, 2008. "Recent applications of theory of the firm under uncertainty," European Journal of Operational Research, Elsevier, vol. 186(2), pages 443-450, April.
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