A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
https://link.springer.com/content/pdf/10.1007/s00186-020-00727-5.pdf
Reference19 articles.
1. Bick B, Kraft H, Munk C (2013) Solving constrained consumption-investment problems by simulation of artificial market strategies. Manag Sci 59:485–503
2. Brandt MW, Goyal A, Santa-Clara P, Stroud JR (2005) A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Rev Financ Stud 18:831–873
3. Campbell JY (2006) Household finance, presidential address to the American Finance Association. J Finance 61:1553–1604
4. Cochrane JH (2011) Presidential address: discount rates. J Finance 66:1047–1108
5. Cvitanic J, Karatzas I (1992) Convex duality in constrained portfolio optimization. Ann Appl Probab 2:767–818
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