Revisiting the Merton Problem: from HARA to CARA Utility-Reference-Cited by-同舟云学术

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Revisiting the Merton Problem: from HARA to CARA Utility

Published:2021-02-22 Issue: Volume: Page:
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Ma Guiyuan^ORCID,Zhu Song-Ping

Funder

Australian Research Council

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-021-10102-z.pdf

Reference28 articles.

1. Barberis, N. (2000). Investing for the long run when returns are predictable. The Journal of Finance, 55(1), 225–264.

2. Bo, L., & Capponi, A. (2016). Optimal investment in credit derivatives portfolio under contagion risk. Mathematical Finance, 26(4), 785–834.

3. Bo, L., Wang, Y., & Yang, X. (2010). An optimal portfolio problem in a defaultable market. Advances in Applied Probability, 42(3), 689–705.

4. Brennan, M. J., Schwartz, E. S., & Lagnado, R. (1997). Strategic asset allocation. Journal of Economic Dynamics and Control, 21(8), 1377–1403.

5. Brennan, M. J., & Xia, Y. (2002). Dynamic asset allocation under inflation. The Journal of Finance, 57(3), 1201–1238.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Linearization in Financial Mathematics;Journal of Physics: Conference Series;2023-12-01

2. Portfolio selection and job switching with CARA utility;Journal of Computational and Applied Mathematics;2023-08

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