Optimal consumption and portfolio policies when asset prices follow a diffusion process-Reference-Cited by-同舟云学术

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Optimal consumption and portfolio policies when asset prices follow a diffusion process

Published:1989-10 Issue:1 Volume:49 Page:33-83
ISSN:0022-0531
Container-title:Journal of Economic Theory
language:en
Short-container-title:Journal of Economic Theory

Author:

Cox John C,Huang Chi-fu

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference35 articles.

1. Mathematical Analysis;Apostol,1974

2. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

3. An intertemporal capital asset pricing model with stochastic investment opportunities;Breeden;J. Finan. Econ.,1979

4. Optimal portfolio insurance;Brennan;J. Finan. Quant. Anal.,1981

5. Introduction to Stochastic Integration;Chung,1983

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