On Investment Consumption Modeling with Jump Process Extensions for Productive Sectors
Author
Abstract
Suggested Citation
DOI: 10.1007/s10957-013-0406-5
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Abel, Andrew B & Eberly, Janice C, 1994.
"A Unified Model of Investment under Uncertainty,"
American Economic Review, American Economic Association, vol. 84(5), pages 1369-1384, December.
- Andrew B. Abel & Janice C. Eberly, "undated". "A Unified Model of Investment Under Uncertainty," Rodney L. White Center for Financial Research Working Papers 14-93, Wharton School Rodney L. White Center for Financial Research.
- Andrew B. Abel & Janice C. Eberly, 1993. "A Unified Model of Investment Under Uncertainty," NBER Working Papers 4296, National Bureau of Economic Research, Inc.
- Panos Fousekis & James S. Shortle, 1995. "Investment Demand When Economic Depreciation is Stochastic," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 77(4), pages 990-1000.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Martin Odening & Oliver Mußhoff & Alfons Balmann, 2005. "Investment decisions in hog finishing: an application of the real options approach," Agricultural Economics, International Association of Agricultural Economists, vol. 32(1), pages 47-60, January.
- Wendell Fleming & Jerome L. Stein, 1999.
"A Stochastic Optimal Control Approach to International Finance and Foreign Debt,"
CESifo Working Paper Series
204, CESifo Group Munich.
- Wendell H. Fleming & Jerome L. Stein, 1999. "A Stochastic Optimal Control Approach to International Finance and Foreign Debt," Working Papers 99-23, Brown University, Department of Economics.
- Ioannis Karatzas & John P. Lehoczky & Suresh P. Sethi & Steven E. Shreve, 1986. "Explicit Solution of a General Consumption/Investment Problem," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 261-294, May.
- M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
- J. Lehoczky & S. Sethi & S. Shreve, 1983. "Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy," Mathematics of Operations Research, INFORMS, vol. 8(4), pages 613-636, November. Full references (including those not matched with items on IDEAS)
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Martin Herdegen & David Hobson & Joseph Jerome, 2021. "An elementary approach to the Merton problem," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1218-1239, October.
- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "An approximation algorithm for optimal consumption/investment problems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 55-69, April.
- Martin Herdegen & David Hobson & Joseph Jerome, 2020. "An elementary approach to the Merton problem," Papers 2006.05260, arXiv.org, revised Mar 2021.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Bensoussan, Alain & Chutani, Anshuman & Sethi, Suresh, 2009. "Optimal Cash Management Under Uncertainty," MPRA Paper 19896, University Library of Munich, Germany.
- Mariani, Francesca & Recchioni, Maria Cristina & Ciommi, Mariateresa, 2019. "Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1178-1189.
- Sungsub Choi & Hyeng Keun Koo & Gyoocheol Shim & Thaleia Zariphopoulou, 2003. "A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Consumption and Portfolio Decisions," Annals of Economics and Finance, Society for AEF, vol. 4(2), pages 427-469, November.
- Dongchen Li & Virginia R. Young, 2020. "Maximizing expected exponential utility of consumption with a constraint on expected time in poverty," Annals of Finance, Springer, vol. 16(1), pages 63-99, March.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- Feil, Jan-Henning & Musshoff, Oliver, 2013. "Investment, disinvestment and policy impact analysis in the dairy sector: a real options approach," Structural Change in Agriculture/Strukturwandel im Agrarsektor (SiAg) Working Papers 159229, Humboldt University Berlin, Department of Agricultural Economics.
- Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst, 2022. "Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 95(1), pages 101-140, February.
- Xinfu Chen & Min Dai & Wei Jiang & Cong Qin, 2022. "Asymptotic analysis of long‐term investment with two illiquid and correlated assets," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1133-1169, October.
- Alain Bensoussan & Jussi Keppo & Suresh P. Sethi, 2009. "Optimal Consumption And Portfolio Decisions With Partially Observed Real Prices," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 215-236, April.
- Baojun Bian & Xinfu Chen & Min Dai & Shuaijie Qian, 2021. "Penalty method for portfolio selection with capital gains tax," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1013-1055, July.
- Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
- Luitgard Veraart, 2010. "Optimal Market Making in the Foreign Exchange Market," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 359-372.
- Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012.
"Saving Rates and Portfolio Choice with Subsistence Consumption,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 108-126, January.
- Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011. "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Online Appendices 10-11, Review of Economic Dynamics.
- Kerstin Dächert & Ria Grindel & Elisabeth Leoff & Jonas Mahnkopp & Florian Schirra & Jörg Wenzel, 2022. "Multicriteria asset allocation in practice," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(2), pages 349-373, June.
- Zuo Quan Xu & Fahuai Yi, 2014. "An Optimal Consumption-Investment Model with Constraint on Consumption," Papers 1404.7698, arXiv.org.
- Milevsky, Moshe A. & Young, Virginia R., 2007.
"Annuitization and asset allocation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
- Moshe A. Milevsky & Virginia R. Young, 2015. "Annuitization and asset allocation," Papers 1506.05990, arXiv.org.
More about this item
Keywords
Stochastic optimal control; Investment consumption model; Poisson process; HARA utility; Dynamic programming;
All these keywords.Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:167:y:2015:i:3:d:10.1007_s10957-013-0406-5. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.