The tradeoff between consumption and investment in incomplete financial markets

Applied Mathematics and Optimization

Volumn 52, Issue 2, 2005, Pages 219-235

  Fleming, Wendell H ^a   Hernández Hernández, Daniel ^b  

^a BROWN UNIVERSITY   (United States)

^b CENTRO DE INVESTIGACIÓN EN MATEMÁTICAS   (Mexico)

Author keywords

Large deviations; Merton model; Risk sensitive control; Zero growth rate

Indexed keywords

FINANCIAL DATA PROCESSING; INVESTMENTS; OPTIMAL CONTROL SYSTEMS; PARAMETER ESTIMATION; PUBLIC POLICY;

LARGE DEVIATIONS; MERTON MODEL; RISK-SENSITIVE CONTROL; ZERO GROWTH RATE;

MARKETING;

EID: 29544451064     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-005-0826-1     Document Type: Article

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