Related Books
Language: en
Pages: 42
Pages: 42
Type: BOOK - Published: 2018 - Publisher:
This paper analyzes the optimal consumption and portfolio choice problem for an ambiguity averse investor who has access to the stock and derivatives markets wi
Language: en
Pages: 36
Pages: 36
Type: BOOK - Published: 2014 - Publisher:
The problem of optimal portfolio choice is solved, in closed form, for an ambiguity averse investor who has access to stock and derivatives markets. The investo
Language: en
Pages:
Pages:
Type: BOOK - Published: 2010 - Publisher:
This paper examines the optimal consumption and portfolio-choice problem of long-horizon investors who have access to a riskless asset with constant return and
Language: en
Pages: 79
Pages: 79
Type: BOOK - Published: 2017 - Publisher:
Language: en
Pages: 599
Pages: 599
Type: BOOK - Published: 2019-07-16 - Publisher: Springer
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at t