Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

Preprint

1 January 1999

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.148148

Abstract

This paper develops the utility gradient (or martingale) approach for computing portfolio and consumption plans that maximize stochastic differential utility (S

Keywords

SSRN
OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH STOCHASTIC DIFFERENTIAL UTILITY
MARK D. SCHRODER
COSTIS SKIADAS

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