Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach-Reference-Cited by-同舟云学术

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Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach

Published:2012-02 Issue:12 Volume:218 Page:6887-6898
ISSN:0096-3003
Container-title:Applied Mathematics and Computation
language:en
Short-container-title:Applied Mathematics and Computation

Author:

Castellano Rosella,Cerqueti Roy

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference21 articles.

1. Optimal portfolio diversification in a general continuous-time model;Aase;Stoch. Process. Appl.,1984

2. Processes with normal inverse Gaussian type;Barndorff-Nielsen;Finance Stoch.,1998

3. Financial Modelling with Jump Processes;Cont,2003

4. Optimal consumption policies in illiquid markets;Cretarola;Finance Stoch.,2011

5. Application of generalized hyperbolic Levy Motion to finance;Eberlein,2001

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2. Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion;European Journal of Operational Research;2016-11

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4. Forecasting macroeconomic fundamentals in economic crises;Annals of Operations Research;2015-05-05

5. Mean–Variance portfolio selection in presence of infrequently traded stocks;European Journal of Operational Research;2014-04

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