Optimal consumption and portfolio policies with an infinite horizon : existence and convergence

Optimal consumption and portfolio policies with an infinite horizon : existence and convergence

Bibliographic Details
Main Authors:	Huang, Chi-fu., Pags, Henri
Other Authors:	Sloan School of Management.
Format:	Working Paper
Published:	Cambridge, Mass. : Massachusetts Institute of Technology, Sloan School of Management 2009
Online Access:	http://hdl.handle.net/1721.1/48639

Similar Items

Optimal consumption and portfolio policies when markets are incomplete
by: Pags, Henri.
Published: (2009)

Consumption-portfolio policies : an inverse optimal problem
by: He, Hua., et al.
Published: (2009)

Optimal consumption and portfolio rules with local substitution
by: Hindy, Ayman, et al.
Published: (2009)

Optimal consumption and portfolio rules with local substitution
by: Hindy, Ayman, et al.
Published: (2009)

Optimal consumption and portfolio rules with durability and local substitution
by: Hindy, Ayman, et al.
Published: (2009)

Optimal consumption and portfolio rules with durability and habit formation
by: Hindy, Ayman., et al.
Published: (2009)

Robust classical-impulse stochastic control problems in an infinite horizon
by: Pun, Chi Seng
Published: (2022)

Infinite horizon stable predictive control
by: Rossiter, J, et al.
Published: (1996)

A study on the impact of the investment horizon on the optimal portfolio composition
by: Liew Wai Weng Mark, Lim Jin Leong Maurice, Yak Chee Keong
Published: (2014)

Infinite-horizon differentiable Model Predictive Control
by: East, S, et al.
Published: (2020)

Determinacy of equilibrium in infinite horizon economics : a perspective
by: Muller, Walter J.
Published: (2009)

Adaptive aggregation methods for infinite horizon dynamic programming
Published: (2003)

Adaptive aggregation methods for infinite horizon dynamic programming
Published: (2003)

Comparative statics and perfect foresight in infinite horizon economies
by: Kehoe, Timothy Jerome, et al.
Published: (2011)

Optimal consumption and portfolio choice with borrowing constraints
by: Vila, Jean-Luc., et al.
Published: (2009)

Optimal consumption and portfolio policies when asset prices follow a diffusion process
Published: (2003)

Robust Predictions in Infinite-Horizon Games--an Unrefinable Folk Theorem
by: Weinstein, Jonathan, et al.
Published: (2013)

Bank credit, inflation, and default risks over an infinite horizon
by: Goodhart, CAE, et al.
Published: (2023)

Convergence of policy gradient methods for finite-horizon stochastic linear-quadratic control problems
by: Giegrich, M, et al.
Published: (2024)

Behavioral optimal consumption and portfolio selection in continuous time
by: Wang, K
Published: (2013)

On the existence of infinite, non-trivial F-sets
by: Ferraguti, A, et al.
Published: (2016)

Three essays in optimal consumption
by: Pagès, Henri Frederic
Published: (2005)

The Infinite-Horizon Dynamic Lot-Size Problem with Cyclic Demand and Costs
by: Graves, Stephen C., et al.
Published: (2004)

Infinite horizon predictive control of constrained continuous-time linear systems
by: Cannon, M, et al.
Published: (2000)

Optimal consumption with intertemporal substitution I : the case of certainty
by: Hindy, Ayman, et al.
Published: (2009)

Optimized dynamic policy for robust receding horizon control
by: Ajay Gautam
Published: (2012)

Essays in consumption and portfolio choice
by: Rodriguez, Jorge F. (Jorge Federico), 1976-
Published: (2006)

Existence and uniqueness of the solution for an infinite system of differential equations.
by: Ibragimov, Gafurjan, et al.
Published: (2008)

Strategies for diversification in existing real estate portfolios
by: Lyne, James Blair
Published: (2012)

Stochastic linear-quadratic control with conic control constraints on an infinite time horizon
by: Chen, X, et al.
Published: (2005)

Linear convergence of a policy gradient method for some finite horizon continuous time control problems
by: Reisinger, C, et al.
Published: (2023)

On convergents infinite products and some generalized inverses of matrix sequences
by: Kilicman, Adem, et al.
Published: (2011)

Robust consumption and portfolio choice with derivatives trading
by: Wei, Pengyu, et al.
Published: (2022)

Consumption, household portfolios and the housing market in France
by: Chauvin, V, et al.
Published: (2018)

Consumption, household portfolios and the housing market in France
by: Chauvin, V, et al.
Published: (2018)

A note on weak convergence results for uniform infinite causal triangulations
by: Sisko, V, et al.
Published: (2011)

CONTINUITY AND WEAK-CONVERGENCE OF RANKED AND SIZE-BIASED PERMUTATIONS ON THE INFINITE SIMPLEX
by: Donnelly, P, et al.
Published: (1989)

Coordinating Inventory Control and Pricing Strategies with Random Demand and Fixed Ordering Cost: the Infinite Horizon Case
by: Chen, Xin, et al.
Published: (2004)

Global optimization algorithms for semi-infinite and generalized semi-infinite programs
by: Lemonidis, Panayiotis
Published: (2008)

A theory of continuous trading when lumpiness of consumption is allowed
by: Huang, Chi-fu.
Published: (2009)