A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
Year of publication: |
2021
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Authors: | Weiss, Farina |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 93.2021, 1, p. 33-81
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Subject: | Continuous-time Optimization | Hamiltion-Jacobi-Bellman equation | Optimal consumption and investment | Predictability | Intertemporal hedging | Portfolio-Management | Portfolio selection | Hedging | Immobilienpreis | Real estate price | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Nachfragetheorie des Haushalts | Consumer demand theory | Mathematische Optimierung | Mathematical programming |
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