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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets

Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402

Persistent link: https://www.econbiz.de/10003352847

"Itô's Lemma" and the Bellman equation for poisson processes : an applied view

Sennewald, Ken (contributor); Wälde, Klaus (contributor) - 2006

Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a Poisson process. Our results can be derived because of the...

Persistent link: https://www.econbiz.de/10003301211

Asymptotics of HARA utility from terminal wealth under proportional transaction costs with decision lag or execution delay and obligatory diversification

Stettner, Lukasz - In: Advanced mathematical methods for finance, (pp. 509-536). 2011

Persistent link: https://www.econbiz.de/10008991273

"Itô's Lemma" and the Bellman equation of poisson processes : an applied view

Sennewald, Ken; Wälde, Klaus - In: Journal of economics 89 (2006) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10003389556

"Ito's Lemma" and the Bellman equation for Poisson processes : an applied view

Sennewald, Ken (contributor); Wälde, Klaus (contributor) - 2005

Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...