Brennan, Michael J. (contributor); Xia, Yihong (contributor) - 2000 - [Elektronische Ressource]
-wealth optimization problems.
We can also interpret the interim consumption problem in the incomplete market setting as a
two …
F
1
(t,s)F
2
(t,s)ds
w
t
, and then carries out the terminal-wealth optimization problem for each s. The
expected …-consumption problem can be interpreted as a two-stage
terminal wealth optimization problem, the optimal portfolio strategy is of a similar …