搜索结果: 1-9 共查到“Optimal Consumption”相关记录9条 . 查询时间(0.078 秒)
The Optimal Consumption of a Depletable Natural Resource: An Elaboration, Correction and Extension
Natural Resource Elaboration
2015/9/18
Weinstein and Zeckhauser^ have shown that the competitive rate
of extraction of a resource of known extent is socially optimal and the
monopolistic rate of extraction generally suhoptimal, hut that ...
Optimal consumption and investment for markets with randoms coefficients
Black-Scholes market Stochastic volatility Optimal consumption and Investment Hamilton-Jacobi-Bellman equation Banach fixed point theorem Feynman - Kac formula.
2011/3/23
We consider an optimal consumption - investment problem for financial markets of Black-Scholes's type with the random coefficients. The existence and uniqueness theorem for the Hamilton-Jacobi-Bellman...
Optimal consumption and investment in incomplete markets with general constraints
Optimal consumption investment incomplete markets
2010/10/22
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with expo...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/4/28
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Black-Scholes model Capital-at-Risk Expected Shortfall logarithmic utility optimal consumption portfolio optimization utility maximization Value-at-Risk
2010/4/27
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in te...
The Opportunity Process for Optimal Consumption and Investment with Power Utility
consumption semimartingale dynamic programming con-vex duality
2010/11/3
We study the utility maximization problem for power utility ran-dom fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is intr...