Showing 1 - 10 of 1,114
This paper examines the optimal consumption and investment problem for a quot;largequot; investor, whose portfolio choices affect the instantaneous expected returns on the traded assets. Alternatively, our analysis can be interpreted in terms of an optimal growth problem with nonlinear...
Persistent link: https://www.econbiz.de/10012757452
Persistent link: https://www.econbiz.de/10005199963
Persistent link: https://www.econbiz.de/10006789997
Persistent link: https://www.econbiz.de/10005618347
This paper examines the individual’s consumption and investment problem when labor income follows a general bounded process and the dollar amounts invested in the risky assets are constrained to take values in a given nonempty, closed, convex cone. Short sale constraints, as well as incomplete...
Persistent link: https://www.econbiz.de/10005618369
This paper examines the individual’s consumption and investment problem when labor income follows a general bounded process and the dollar amounts invested in the risky assets are constrained to take values in a given nonempty, closed, convex cone. Short sale constraints, as well as incomplete...
Persistent link: https://www.econbiz.de/10005657242
Persistent link: https://www.econbiz.de/10001213786
Persistent link: https://www.econbiz.de/10000767693
Persistent link: https://www.econbiz.de/10000778900
Persistent link: https://www.econbiz.de/10000758762