Zhao, Qian; Shen, Yang; Wei, Jiaqin - In: European Journal of Operational Research 238 (2014) 3, pp. 824-835
In this paper, we revisit the consumption–investment problem with a general discount function and a logarithmic utility function in a non-Markovian framework. The coefficients in our model, including the interest rate, appreciation rate and volatility of the stock, are assumed to be adapted...