𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Optimal lifetime consumption and investment under a

✍ Scribed by Romuald Elie; Nizar Touzi


Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
680 KB
Volume
12
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Optimal investment and consumption with
✍ Xikui Wang; Yan Wang πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 145 KB

## Abstract We use the statistical model of bandit processes to formulate and solve two kinds of optimal investment and consumption problems. The payoffs from the investment are dividend payments with fixed return rates, but the payment frequency is stochastic following a Poisson distribution. The

Optimal consumption and investment strat
✍ Anders Damgaard; Brian Fuglsbjerg; Claus Munk πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 578 KB

We study the consumption and investment choice of an agent in a continuous-time economy with a riskless asset, several risky ΓΏnancial assets, and two consumption goods, namely a perishable and a durable good with an uncertain price evolution. Assuming lognormal prices and a multiplicatively separabl