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Intertemporal Time Preference on a Simplex in Continuous Time
Song, Xihao - 2023
This paper aims to provide a representation theorem for consumption stream in the simplex in continuous time, by using …
Persistent link: https://www.econbiz.de/10014353982
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Intertemporal Time Preference on a Simplex in Continuous Time
Song, Xihao - 2023
This work aims to provide a representation theorem for consumption in simplex in continuous time by using a weaker …
Persistent link: https://www.econbiz.de/10014256003
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Recursive Utility Using the Stochastic Maximum Principle
Aase, Knut K. - 2015
rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility … which gives the most unambiguous separation of risk preference from time substitution, and use the stochastic maximum …
Persistent link: https://www.econbiz.de/10013034144
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Simultane Investitionsplanung auf der Grundlage einer expliziten Zeitabbildung
Bruns, Thomas - 1990
Persistent link: https://www.econbiz.de/10000080581
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Higher-order calculus of variations on time scales
Ferreira, Rui A. C.; Torres, Delfim F. M. - In: Mathematical control theory and finance, (pp. 149-159). 2008
Persistent link: https://www.econbiz.de/10003755601
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Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
Pınar, Mustafa C.̧ - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 295-309
Persistent link: https://www.econbiz.de/10003464177
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Robust multiperiod portfolio management in the presence of transaction costs
Bertsimas, Dimitris; Pachamanova, Dessislava A. - In: Computers & operations research : and their … 35 (2008) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10003665715
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The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
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Contract theory in continuous-time models
Cvitanić, Jakša; Jianfeng Zhang; Zhang, Jianfeng - 2013
Persistent link: https://www.econbiz.de/10009628203
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189