Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv
By Mark Schroder, Costis Skiadas. 2003
115 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/488a8706d3dac630cebfd35b8fa8ce66e8f232df
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In Management Science and Operations Research
Citations in the corpus
- Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “The properties of the stochastic differential utility in (11) and the related implications for asset pricing have been previously studied by, e.g., Duffie and Epstein (1992a,b), Duffie and Skiadas (1994), Schroder and Skiadas (1999, 2003), and Skiadas (2003).”
- Portfolio Selection in Stochastic Environments (2007, unknown): “For the case of complete markets, Schroder and Skiadas (1999) characterize the solution to optimal portfolio selection and consumption problems when the agent has stochastic differential utility and derive the explicit solution for CRRA utility when the asset returns are described by affine processe”
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS (2005, unknown): “Schroder and Skiadas (2003) have recently derived an alternative set of necessary and sufficient conditions for optimal constrained consumption-portfolio policies that involve a forward–backward stochastic differential equations (FBSDE).”
- Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009, unknown): “The relation between these various models is discussed in Hansen and Sargent (2001a,b) and Schroder and Skiadas (2003).”
- Forward-backward stochastic differential equations with mixed initial-terminal conditions (2009, background): “According to [9], [5], [25], [17], [16], and [26], we could refer to Y (0) as the (initial) differential utility of the future payoff ξ .”
- Correlation Risk and Optimal Portfolio Choice (2010, unknown): “Results in Schroder and Skiadas (2003) imply that if the original optimization problem has a solution, the value function of the static problem coincides with the value function of the original problem.”
- A Smooth Model of Decision Making under Ambiguity (2005, unknown): “Generation of underdiversification in the context of a model uncertainty framework appears in Uppal and Wang (2003). Epstein and Miao (2003) generates home-bias in a heterogeneous agent dynamic multiple priors setting.”