On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
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DOI: 10.1007/s10690-010-9128-y
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Cited by:
- Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
- Legendre, François & Togola, Djibril, 2016.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
- Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
- François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
- François Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem: the continuous-time detour," Erudite Working Paper 2015-01, Erudite.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- Bo Yi & Frederi Viens & Baron Law & Zhongfei Li, 2015. "Dynamic portfolio selection with mispricing and model ambiguity," Annals of Finance, Springer, vol. 11(1), pages 37-75, February.
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Keywords
Optimal portfolios; Hamilton-Jacobi-Bellman equation; Stochastic market price of risk; Verification theorem;All these keywords.
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