OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY

Li, L; Mi, H

Mi, H (reprint author), Nanjing Normal Univ, Sch Math Sci, Nanjing, Jiangsu, Peoples R China.; Mi, H (reprint author), Nanjing Normal Univ, Inst Finance & Stat, Nanjing, Jiangsu, Peoples R China.

ANZIAM JOURNAL, 2019; 61 (1): 99

Abstract

We analyse an optimal portfolio and consumption problem with stochastic factor and delay over a finite time horizon. The financial market includes a r......

Full Text Link