A VARIATIONAL PROBLEM ARISING IN FINANCIAL ECONOMICS

被引：112

作者：

COX, JC

HUANG, CF

机构：

[1] Sloan School of Management, Massachusetts Institute of Technology, Cambridge

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 1991年 / 20卷 / 05期

关键词：

D O I：

10.1016/0304-4068(91)90004-D

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide sufficient conditions for a dynamic consumption-portfolio problem in continuous time to have a solution. When the price processes satisfy a regularity condition, all utility functions that are continuous, increasing, concave, and are dominated by a strictly concave power function admit a solution.

引用

页码：465 / 487

页数：23

共 21 条

[1] A VARIATIONAL PROBLEM ARISING IN ECONOMICS [J].