Optimal allocation of wealth for two consuming agents sharing a portfolio
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- Oumar Mbodji & Adrien Nguyen Huu & Traian A. Pirvu, 2014. "Optimal allocation of wealth for two consuming agents sharing a portfolio," Papers 1402.1052, arXiv.org, revised Mar 2015.
References listed on IDEAS
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
- repec:dau:papers:123456789/11473 is not listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
- Kim, Tong Suk & Omberg, Edward, 1996. "Dynamic Nonmyopic Portfolio Behavior," Review of Financial Studies, Society for Financial Studies, pages 141-161.
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Keywordsportfolio optimization; time inconsistency; portfolio management; market price of risk; optimal consumption;
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