STOIKOV, SASHA F.; ZARIPHOPOULOU, THALEIA - In: Australian Economic Papers 44 (2005) 4, pp. 414-454
We study the optimal investment and consumption problem of a CRRA investor when the drift and volatility of the stock are driven by a correlated factor. The myopic and non-myopic components of the optimal portfolio process are characterised in terms of the market price of traded and non-traded...