A risk extended version of Merton's optimal consumption and portfolio selection
Alain Bensoussan, SingRu (Celine) Hoe, Joohyun Kim, Zhongfeng Yan
| Year of publication: |
2022
|
|---|---|
| Authors: | Bensoussan, Alain ; Hoe, SingRu ; Kim, Joohyun ; Yan, Zhongfeng |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 2, p. 815-829
|
| Subject: | consumption and portfolio choice | Financial Engineering | fixed point problem | mean field-type control | risk management | time inconsistency | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Konsumtheorie | Consumption theory | Risiko | Risk | Financial engineering |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2021.2197 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013365795