Optimal investment with intermediate consumption under no unbounded profit with bounded risk.
Huy N. ChauAndrea CossoClaudio FontanaOleksii MostovyiPublished in: J. Appl. Probab. (2017)
Keyphrases
- investment strategies
- decision making
- investment decisions
- return on investment
- optimal portfolio
- risk neutral
- asset allocation
- conditional expectation
- portfolio management
- stock exchange
- asymptotically optimal
- risk aversion
- optimal strategy
- risk analysis
- optimal capacity
- risk assessment
- stock market
- optimal solution