Consumption-Portfolio Policies: An Inverse Optimal Problem
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- Jouini, Elyes & Kallal, Hedi, 2001.
"Efficient Trading Strategies in the Presence of Market Frictions,"
Review of Financial Studies,
Society for Financial Studies, vol. 14(2), pages 343-369.
- Elyès Jouini & Hédi Kallal, 1998. "Efficient Trading Strategies in the Presence of Market Frictions," Working Papers 98-31, Center for Research in Economics and Statistics.
- Elyès Jouini & Hédi Kallal, 1999. "Efficient Trading Strategies in the Presence of Market Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-035, New York University, Leonard N. Stern School of Business-.
- Gollier, Christian & Zeckhauser, Richard J, 2002. "Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 195-212, May.
- Phillip Monin, 2013. "On a dynamic adaptation of the Distribution Builder approach to investment decisions," Papers 1301.0907, arXiv.org.
- Boyle, Phelim & Tian, Weidong, 2008. "The design of equity-indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 303-315, December.
- Dejian Tian & Weidong Tian, 2016. "Comparative statics under κ-ambiguity for log-Brownian asset prices," International Journal of Economic Theory, The International Society for Economic Theory, vol. 12(4), pages 361-378, December.
- Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou, 2013. "Time--consistent investment under model uncertainty: the robust forward criteria," Papers 1311.3529, arXiv.org, revised Nov 2014.
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