Optimal portfolio and consumption with habit formation in a jump diffusion market.

Xinfeng Ruan Wenli Zhu Jin Hu Jiexiang Huang

Published in: Appl. Math. Comput. (2013)

Keyphrases

optimal portfolio
asset allocation
portfolio selection
expected utility
portfolio management
decision makers
stock market
artificial intelligence
evolutionary algorithm
multi objective
utility function
financial markets
portfolio optimization
decision making
optimal capacity