A new approach to stochastic optimization: the investment-consumption model
We 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.
|Date of creation:||14 Dec 2009|
|Date of revision:|
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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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