In a general semi-martingale financial market with possibly nonlinear wealth dynamics, incomplete information, and ambiguity, we show that the optimal consumption decision of an agent with logarithmic preferences can be separated from the agent's investment decisions. Using minimal assumptions and mathematical machinery, we demonstrate that the optimal consumption/wealth ratio is deterministic, and we derive an explicit formula for it
Abstract We solve in closed form the optimal consumption / portfolio choice problem for an isoelasti...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
AbstractWe consider the problem of maximizing the expected logarithmic utility from consumption or t...
Krsnik S. Consumption selection on incomplete markets. Bielefeld (Germany): Bielefeld University; 20...
We provide an axiomatic foundation for the representation of numéraire-invariant preferences of econ...
This paper examines the optimal consumption and investment problem for a ‘large’ investor, whose por...
This paper applies Cox-Huang [2] martingale method to solve the optimal portfolio-selection and cons...
We give a review of classical and recent results on maximization of expected utility for an investor...
In a financial market consisting of a risk-free asset and several risky assets, an investor with log...
In this paper, we analyse a market where the risky assets follow defaultable exponential additive pr...
We pursue an inverse approach to utility theory and associated consumption and investment problems. ...
In this paper, we analyse a market where the risky assets follow defaultable exponential additive pr...
In this paper, we consider the optimal consumption and portfolio policies with the consumption habit...
In this paper, we revisit the consumption-investment problem with a general discount function and a ...
Abstract We solve in closed form the optimal consumption / portfolio choice problem for an isoelasti...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
AbstractWe consider the problem of maximizing the expected logarithmic utility from consumption or t...
Krsnik S. Consumption selection on incomplete markets. Bielefeld (Germany): Bielefeld University; 20...
We provide an axiomatic foundation for the representation of numéraire-invariant preferences of econ...
This paper examines the optimal consumption and investment problem for a ‘large’ investor, whose por...
This paper applies Cox-Huang [2] martingale method to solve the optimal portfolio-selection and cons...
We give a review of classical and recent results on maximization of expected utility for an investor...
In a financial market consisting of a risk-free asset and several risky assets, an investor with log...
In this paper, we analyse a market where the risky assets follow defaultable exponential additive pr...
We pursue an inverse approach to utility theory and associated consumption and investment problems. ...
In this paper, we analyse a market where the risky assets follow defaultable exponential additive pr...
In this paper, we consider the optimal consumption and portfolio policies with the consumption habit...
In this paper, we revisit the consumption-investment problem with a general discount function and a ...
Abstract We solve in closed form the optimal consumption / portfolio choice problem for an isoelasti...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...