On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to the...
Saved in:
| Published in | Asia-Pacific financial markets Vol. 18; no. 2; pp. 151 - 166 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Boston
Springer US
01.05.2011
Springer Springer Nature B.V |
| Series | Asia-Pacific Financial Markets |
| Subjects | |
| Online Access | Get full text |
| ISSN | 1387-2834 1573-6946 |
| DOI | 10.1007/s10690-010-9128-y |
Cover
| Abstract | In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to the portfolio selection problem. |
|---|---|
| AbstractList | In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to the portfolio selection problem. [PUBLICATION ABSTRACT] In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to the portfolio selection problem. |
| Author | Kamimura, Shoji Honda, Toshiki |
| Author_xml | – sequence: 1 givenname: Toshiki surname: Honda fullname: Honda, Toshiki email: thonda@ics.hit-u.ac.jp organization: Graduate School of International Corporate Strategy, Hitotsubashi University – sequence: 2 givenname: Shoji surname: Kamimura fullname: Kamimura, Shoji organization: Graduate School of International Corporate Strategy, Hitotsubashi University, International School of Economics and Business Administration, Reitaku University |
| BackLink | http://econpapers.repec.org/article/kapapfinm/v_3a18_3ay_3a2011_3ai_3a2_3ap_3a151-166.htm$$DView record in RePEc |
| BookMark | eNp9UdFuFCEUJaYmttUP8G3iOxWGGWAezba2mpo2Wn0lLAsddndgBLZm_t47HRsTE0tyuTfccw5wzwk6CjFYhN5SckYJEe8zJbwjmFCCO1pLPL1Ax7QVDPOu4UdQMylwLVnzCp3kvCXAaXh9jLY3oSq9rX7Y5J03uvgYqrvexmSHKrrqfAp68Ka6jam4uPcRr2LIh2F8BN6muN7bIVe_fOmrbyWaXucC8C867WyBvjd2lvnq8-41eun0Pts3f_Ip-v7x4m51ha9vLj-tPlxj07Sy4LUlG94yYjpYxPJOd7Rdy7YTThhZE-ZIJwycaE1qunZa8A0zrHG83ehaC3aK3i26Y4o_DzYXtY2HFOBKJTnMQbZEAujzAkp2tEaNyQ86TWqnRz06Hwb1oJimErYJoiaUQvJzCTHOvZYqyrnqywBiYhEzKeacrFPGl8dRlqT9XlGiZpPUYpICk9RskpqASf9hPr3kOU69cDJgw71Nf__3f9Jv2IKnGQ |
| CitedBy_id | crossref_primary_10_1016_j_insmatheco_2018_03_004 crossref_primary_10_1007_s10436_014_0252_y crossref_primary_10_1016_j_iref_2015_07_003 crossref_primary_10_1017_asb_2024_22 crossref_primary_10_1016_j_econmod_2016_03_029 crossref_primary_10_1007_s11156_023_01169_w crossref_primary_10_1080_02331934_2019_1679812 crossref_primary_10_2139_ssrn_2526381 |
| Cites_doi | 10.1111/j.0960-1627.2004.00197.x 10.1007/978-3-0348-8081-7 10.1162/003355399556043 10.2307/1926560 10.1007/978-1-4612-6380-7 10.1093/rfs/9.1.141 10.1137/S0363012904440885 10.1111/0022-1082.00162 10.1137/S0363012901399337 10.1016/S0165-1889(97)00031-6 10.1093/rfs/hhl001 10.1017/CBO9780511526503 10.1007/s002459900110 10.1111/j.1467-8454.2005.00269.x 10.2307/3594995 10.1007/PL00000040 10.1016/S0165-1889(99)00017-2 10.1016/0022-0531(71)90038-X |
| ContentType | Journal Article |
| Copyright | Springer Science+Business Media, LLC. 2010 Springer Science+Business Media, LLC. 2011 |
| Copyright_xml | – notice: Springer Science+Business Media, LLC. 2010 – notice: Springer Science+Business Media, LLC. 2011 |
| DBID | AAYXX CITATION DKI X2L 3V. 7RO 7WY 7WZ 7XB 87Z 885 8AI 8AO 8FE 8FG 8FK 8FL ABUWG AFKRA ANIOZ ARAPS AXJJW AZQEC BENPR BEZIV BGLVJ CCPQU DWQXO FRAZJ FREBS FRNLG F~G GNUQQ HCIFZ JQ2 K60 K6~ K7- L.- L.0 M0C M1F P5Z P62 PHGZM PHGZT PKEHL PQBIZ PQBZA PQEST PQGLB PQQKQ PQUKI Q9U |
| DOI | 10.1007/s10690-010-9128-y |
| DatabaseName | CrossRef RePEc IDEAS RePEc ProQuest Central (Corporate) Asian Business Database ABI/INFORM Collection ABI/INFORM Global (PDF only) ProQuest Central (purchase pre-March 2016) ABI/INFORM Collection Banking Information Database (Alumni Edition) Asian Business Database (Alumni Edition) ProQuest Pharma Collection ProQuest SciTech Collection ProQuest Technology Collection ProQuest Central (Alumni) (purchase pre-March 2016) ABI/INFORM Collection (Alumni Edition) ProQuest Central (Alumni) ProQuest Central UK/Ireland Accounting, Tax & Banking Collection Advanced Technologies & Computer Science Collection Asian & European Business Collection ProQuest Central Essentials Local Electronic Collection Information ProQuest Central Business Premium Collection Technology Collection ProQuest One Community College ProQuest Central Accounting, Tax & Banking Collection (Alumni) Asian & European business collection Business Premium Collection (Alumni) ABI/INFORM Global (Corporate) ProQuest Central Student SciTech Premium Collection ProQuest Computer Science Collection ProQuest Business Collection (Alumni Edition) ProQuest Business Collection Computer Science Database ABI/INFORM Professional Advanced ABI/INFORM Professional Standard ABI/INFORM Global Banking Information Database Advanced Technologies & Aerospace Database ProQuest Advanced Technologies & Aerospace Collection ProQuest Central Premium ProQuest One Academic ProQuest One Academic Middle East (New) ProQuest One Business ProQuest One Business (Alumni) ProQuest One Academic Eastern Edition (DO NOT USE) ProQuest One Applied & Life Sciences ProQuest One Academic ProQuest One Academic UKI Edition ProQuest Central Basic |
| DatabaseTitle | CrossRef ABI/INFORM Global (Corporate) ProQuest Business Collection (Alumni Edition) ProQuest One Business Computer Science Database ProQuest Central Student Technology Collection ProQuest One Academic Middle East (New) ProQuest Advanced Technologies & Aerospace Collection ProQuest Central Essentials ProQuest Asian Business & Reference ProQuest Computer Science Collection Asian & European Business Collection ProQuest Central (Alumni Edition) SciTech Premium Collection ProQuest One Community College Banking Information Source (Alumni Edition) ProQuest Pharma Collection ABI/INFORM Complete Asian & European Business Collection (Alumni) ProQuest Central ABI/INFORM Professional Advanced ProQuest One Applied & Life Sciences ProQuest Asian Business and Reference (Alumni Edition) ABI/INFORM Professional Standard ProQuest Central Korea Accounting, Tax & Banking Collection (Alumni) ProQuest Central (New) ABI/INFORM Complete (Alumni Edition) Advanced Technologies & Aerospace Collection Business Premium Collection ABI/INFORM Global ABI/INFORM Global (Alumni Edition) ProQuest Central Basic ProQuest One Academic Eastern Edition ProQuest Technology Collection ProQuest SciTech Collection ProQuest Business Collection Advanced Technologies & Aerospace Database Accounting, Tax & Banking Collection ProQuest One Academic UKI Edition ProQuest One Business (Alumni) ProQuest One Academic Banking Information Source ProQuest Central (Alumni) ProQuest One Academic (New) Business Premium Collection (Alumni) |
| DatabaseTitleList | ABI/INFORM Global (Corporate) |
| Database_xml | – sequence: 1 dbid: DKI name: RePEc IDEAS url: http://ideas.repec.org/ sourceTypes: Index Database – sequence: 2 dbid: 8FG name: ProQuest Technology Collection url: https://search.proquest.com/technologycollection1 sourceTypes: Aggregation Database |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Economics Mathematics Business |
| EISSN | 1573-6946 |
| EndPage | 166 |
| ExternalDocumentID | 2317303511 kapapfinm_v_3a18_3ay_3a2011_3ai_3a2_3ap_3a151_166_htm 10_1007_s10690_010_9128_y |
| GroupedDBID | -57 -5G -BR -EM -Y2 -~C .86 .VR 06D 0R~ 0VY 1N0 1OL 1SB 2.D 203 23N 28- 2J2 2JN 2JY 2KG 2LR 2P1 2VQ 2Z- 2~H 30V 3V. 4.4 406 408 409 40D 40E 5GY 5QI 5VS 67Z 6J9 6NX 7RO 7WY 885 8AI 8AO 8FE 8FG 8FL 8TC 8UJ 95- 95. 95~ 96X AAAVM AABHQ AACDK AAHNG AAIAL AAJBT AAJKR AANZL AARHV AARTL AASML AATNV AATVU AAUYE AAWCG AAYIU AAYQN AAYTO AAYZH ABAKF ABBBX ABBXA ABDZT ABECU ABFTD ABFTV ABHLI ABHQN ABJNI ABJOX ABKCH ABKTR ABMNI ABMQK ABNWP ABQBU ABQSL ABSXP ABTEG ABTHY ABTKH ABTMW ABULA ABUWG ABWNU ABXPI ACAOD ACDTI ACGFO ACGFS ACHSB ACHXU ACKNC ACMDZ ACMJI ACMLO ACOKC ACOMO ACPIV ACREN ACSNA ACZOJ ADFRT ADHHG ADHIR ADIMF ADINQ ADKNI ADKPE ADPHR ADRFC ADTPH ADURQ ADYFF ADYOE ADZKW AEBTG AEFIE AEFQL AEGAL AEGNC AEJHL AEJRE AEKMD AEMSY AEOHA AEPYU AESKC AETLH AEVLU AEXYK AFBBN AFEXP AFGCZ AFKRA AFLOW AFQWF AFWTZ AFYQB AFZKB AGAYW AGDGC AGGDS AGJBK AGMZJ AGQEE AGQMX AGRTI AGWIL AGWZB AGYKE AHAVH AHBYD AHKAY AHSBF AHYZX AIAKS AIGIU AIIXL AILAN AITGF AJBLW AJRNO AJZVZ ALMA_UNASSIGNED_HOLDINGS ALWAN AMKLP AMTXH AMXSW AMYLF AMYQR ANIOZ AOCGG ARAPS ARMRJ ASPBG AVWKF AXJJW AXYYD AYQZM AZFZN B-. BA0 BAPOH BDATZ BENPR BEZIV BGLVJ BGNMA BPHCQ BSONS CAG CCPQU COF CS3 CSCUP DDRTE DL5 DNIVK DPUIP DWQXO EBLON EBS EIOEI EJD EOH ESBYG FEDTE FERAY FFXSO FIGPU FINBP FNLPD FRNLG FRRFC FSGXE FWDCC GGCAI GGRSB GJIRD GNWQR GQ6 GQ7 GQ8 GROUPED_ABI_INFORM_COMPLETE GROUPED_ABI_INFORM_RESEARCH GXS H13 HCIFZ HF~ HG5 HG6 HMJXF HQYDN HRMNR HVGLF HZ~ I09 IHE IJ- IKXTQ ITM IWAJR IXC IZIGR IZQ I~X I~Z J-C J0Z JBSCW JCJTX JZLTJ K60 K6V K6~ K7- KDC KOV LAK LGEZI LLZTM LOTEE M0C M1F M4Y MA- N2Q NADUK NDZJH NPVJJ NQJWS NU0 NXXTH O9- O93 O9G O9I OAM OVD P19 P2P P62 P9M PF0 PQBIZ PQBZA PQQKQ PROAC PT4 PT5 Q2X QOK QOS R89 R9I RNI ROL RPX RSV RZC RZD RZK S16 S1Z S26 S27 S28 S3B SAP SBE SCLPG SDH SHX SISQX SJYHP SNE SNPRN SNX SOHCF SOJ SPISZ SRMVM SSLCW STPWE SZN T13 T16 TEORI TN5 TSG TSK TSV TUC U2A UG4 UOJIU UTJUX UZXMN VC2 VFIZW W23 W48 WK8 YLTOR Z45 Z81 Z8U ZMTXR ZYFGU ~A9 AAPKM AAYXX ABBRH ABDBE ABFSG ABRTQ ACSTC ADHKG AEZWR AFDZB AFHIU AFOHR AGQPQ AHPBZ AHWEU AIXLP ATHPR AYFIA CITATION PHGZM PHGZT PQGLB PUEGO 0R 57 5G 95 A9 AAPBV ABKAS ACIPQ ACVWB BR C DKI EM HZ IPNFZ K6 KSO PQEST PQUKI PRINS RIG UNUBA VR X2L 7XB 8FK AZQEC GNUQQ JQ2 L.- L.0 PKEHL Q9U |
| ID | FETCH-LOGICAL-c458t-be0d6530c99990e69a915b8597f7c8203f097c5b8aa021bfa76d3c34f65da2a73 |
| IEDL.DBID | BENPR |
| ISSN | 1387-2834 |
| IngestDate | Sat Aug 23 13:05:10 EDT 2025 Thu Dec 16 09:11:58 EST 2021 Thu Apr 24 22:59:58 EDT 2025 Wed Oct 01 04:45:22 EDT 2025 Fri Feb 21 02:35:04 EST 2025 |
| IsDoiOpenAccess | false |
| IsOpenAccess | true |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 2 |
| Keywords | Stochastic market price of risk Optimal portfolios Hamilton-Jacobi-Bellman equation Verification theorem |
| Language | English |
| License | http://www.springer.com/tdm |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c458t-be0d6530c99990e69a915b8597f7c8203f097c5b8aa021bfa76d3c34f65da2a73 |
| Notes | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 |
| OpenAccessLink | https://hdl.handle.net/10086/23073 |
| PQID | 861388508 |
| PQPubID | 30197 |
| PageCount | 16 |
| ParticipantIDs | proquest_journals_861388508 repec_primary_kapapfinm_v_3a18_3ay_3a2011_3ai_3a2_3ap_3a151_166_htm crossref_citationtrail_10_1007_s10690_010_9128_y crossref_primary_10_1007_s10690_010_9128_y springer_journals_10_1007_s10690_010_9128_y |
| ProviderPackageCode | CITATION AAYXX |
| PublicationCentury | 2000 |
| PublicationDate | 2011-05-01 |
| PublicationDateYYYYMMDD | 2011-05-01 |
| PublicationDate_xml | – month: 05 year: 2011 text: 2011-05-01 day: 01 |
| PublicationDecade | 2010 |
| PublicationPlace | Boston |
| PublicationPlace_xml | – name: Boston – name: Dordrecht |
| PublicationSeriesTitle | Asia-Pacific Financial Markets |
| PublicationSubtitle | formerly Financial Engineering and the Japanese Markets |
| PublicationTitle | Asia-Pacific financial markets |
| PublicationTitleAbbrev | Asia-Pac Financ Markets |
| PublicationYear | 2011 |
| Publisher | Springer US Springer Springer Nature B.V |
| Publisher_xml | – name: Springer US – name: Springer – name: Springer Nature B.V |
| References | KimT. S.OmbergE.Dynamic nonmyopic portfolio behaviorReview of Financial Studies1996914116110.1093/rfs/9.1.141 Castañeda LeyvaN.Hernández-HernándezD.Optimal consumption-investment problems in incomplete markets with stochastic coefficientsSIAM Journal of Control Optimization2005441322134410.1137/S0363012904440885 BieleckiT. R.PliskaS. R.Risk-sensitive dynamic asset managementApplied Mathematics and Optimization19993933736010.1007/s002459900110 BieleckiT. R.PliskaS. R.SherrisM.Risk sensitive asset allocationJournal of Economic Dynamics and Control2000241145117710.1016/S0165-1889(99)00017-2 BrandtM. W.Estimating portfolio and consumption choice: A conditional Euler equations approachJournal of Finance1999541609164510.1111/0022-1082.00162 LiptserR. S.ShiryaevA. N.Statistics of random processes I: General theory20012New YorkSpringer-Verlag MertonR.Lifetime portfolio selection under uncertainty: The continuous-time caseReview of Economics and Statistics19695124725710.2307/1926560 KornR.KraftH.On the stability of continuous-time portfolio problems with stochastic opportunity setMathematical Finance20041440341310.1111/j.0960-1627.2004.00197.x WachterJ. A.Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete marketsJournal of Financial and Quantitative Analysis200237639110.2307/3594995 BensoussanA.Stochastic control of partially observable systems1992CambridgeCambridge University Press10.1017/CBO9780511526503 BrennanM. J.SchwartzE. S.LagnadoR.Strategic asset allocationJournal of Economic Dynamics and Control1997211377140310.1016/S0165-1889(97)00031-6 Abou-KandilH.FreilingG.IonescuR.JankG.Matrix Riccati equations in control and systems theory2003BaselBirkhäuser Verlag FlemingW. H.RishelR. W.Deterministic and stochastic optimal control1975New YorkSpringer-Verlag LiuJ.Portfolio selection in stochastic environmentsReview of Financial Studies20072013910.1093/rfs/hhl001 MertonR.Optimum consumption and portfolio rules in a continuous-time modelJournal of Economic Theory1971337341310.1016/0022-0531(71)90038-X ZariphopoulouT.A solution approach to valuation with unhedgeable risksFinance and Stochastics20015618210.1007/PL00000040 CampbellJ. Y.ViceiraL. M.Consumption and portfolio decisions when expected returns are time varyingQuarterly Journal of Economics199911443349510.1162/003355399556043 NagaiH.Optimal strategies for risk-sensitive portfolio optimization problems for general factor modelsSIAM Journal of Control Optimization20034125727810.1137/S0363012901399337 StoikovS. F.ZariphopoulouT.Dynamic asset allocation and consumption choice in incompletes marketsAustralian Economic Papers20054441445410.1111/j.1467-8454.2005.00269.x H. Nagai (9128_CR16) 2003; 41 J. Liu (9128_CR13) 2007; 20 M. J. Brennan (9128_CR6) 1997; 21 S. F. Stoikov (9128_CR17) 2005; 44 M. W. Brandt (9128_CR5) 1999; 54 T. R. Bielecki (9128_CR3) 1999; 39 J. Y. Campbell (9128_CR7) 1999; 114 T. S. Kim (9128_CR10) 1996; 9 J. A. Wachter (9128_CR18) 2002; 37 H. Abou-Kandil (9128_CR1) 2003 R. Merton (9128_CR15) 1971; 3 T. R. Bielecki (9128_CR4) 2000; 24 N. Castañeda Leyva (9128_CR8) 2005; 44 R. S. Liptser (9128_CR12) 2001 T. Zariphopoulou (9128_CR19) 2001; 5 R. Merton (9128_CR14) 1969; 51 R. Korn (9128_CR11) 2004; 14 A. Bensoussan (9128_CR2) 1992 W. H. Fleming (9128_CR9) 1975 |
| References_xml | – reference: LiptserR. S.ShiryaevA. N.Statistics of random processes I: General theory20012New YorkSpringer-Verlag – reference: NagaiH.Optimal strategies for risk-sensitive portfolio optimization problems for general factor modelsSIAM Journal of Control Optimization20034125727810.1137/S0363012901399337 – reference: BrandtM. W.Estimating portfolio and consumption choice: A conditional Euler equations approachJournal of Finance1999541609164510.1111/0022-1082.00162 – reference: MertonR.Lifetime portfolio selection under uncertainty: The continuous-time caseReview of Economics and Statistics19695124725710.2307/1926560 – reference: BrennanM. J.SchwartzE. S.LagnadoR.Strategic asset allocationJournal of Economic Dynamics and Control1997211377140310.1016/S0165-1889(97)00031-6 – reference: KornR.KraftH.On the stability of continuous-time portfolio problems with stochastic opportunity setMathematical Finance20041440341310.1111/j.0960-1627.2004.00197.x – reference: KimT. S.OmbergE.Dynamic nonmyopic portfolio behaviorReview of Financial Studies1996914116110.1093/rfs/9.1.141 – reference: BieleckiT. R.PliskaS. R.Risk-sensitive dynamic asset managementApplied Mathematics and Optimization19993933736010.1007/s002459900110 – reference: WachterJ. A.Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete marketsJournal of Financial and Quantitative Analysis200237639110.2307/3594995 – reference: StoikovS. F.ZariphopoulouT.Dynamic asset allocation and consumption choice in incompletes marketsAustralian Economic Papers20054441445410.1111/j.1467-8454.2005.00269.x – reference: BieleckiT. R.PliskaS. R.SherrisM.Risk sensitive asset allocationJournal of Economic Dynamics and Control2000241145117710.1016/S0165-1889(99)00017-2 – reference: BensoussanA.Stochastic control of partially observable systems1992CambridgeCambridge University Press10.1017/CBO9780511526503 – reference: LiuJ.Portfolio selection in stochastic environmentsReview of Financial Studies20072013910.1093/rfs/hhl001 – reference: Abou-KandilH.FreilingG.IonescuR.JankG.Matrix Riccati equations in control and systems theory2003BaselBirkhäuser Verlag – reference: CampbellJ. Y.ViceiraL. M.Consumption and portfolio decisions when expected returns are time varyingQuarterly Journal of Economics199911443349510.1162/003355399556043 – reference: Castañeda LeyvaN.Hernández-HernándezD.Optimal consumption-investment problems in incomplete markets with stochastic coefficientsSIAM Journal of Control Optimization2005441322134410.1137/S0363012904440885 – reference: FlemingW. H.RishelR. W.Deterministic and stochastic optimal control1975New YorkSpringer-Verlag – reference: MertonR.Optimum consumption and portfolio rules in a continuous-time modelJournal of Economic Theory1971337341310.1016/0022-0531(71)90038-X – reference: ZariphopoulouT.A solution approach to valuation with unhedgeable risksFinance and Stochastics20015618210.1007/PL00000040 – volume: 14 start-page: 403 year: 2004 ident: 9128_CR11 publication-title: Mathematical Finance doi: 10.1111/j.0960-1627.2004.00197.x – volume-title: Matrix Riccati equations in control and systems theory year: 2003 ident: 9128_CR1 doi: 10.1007/978-3-0348-8081-7 – volume: 114 start-page: 433 year: 1999 ident: 9128_CR7 publication-title: Quarterly Journal of Economics doi: 10.1162/003355399556043 – volume: 51 start-page: 247 year: 1969 ident: 9128_CR14 publication-title: Review of Economics and Statistics doi: 10.2307/1926560 – volume-title: Deterministic and stochastic optimal control year: 1975 ident: 9128_CR9 doi: 10.1007/978-1-4612-6380-7 – volume: 9 start-page: 141 year: 1996 ident: 9128_CR10 publication-title: Review of Financial Studies doi: 10.1093/rfs/9.1.141 – volume: 44 start-page: 1322 year: 2005 ident: 9128_CR8 publication-title: SIAM Journal of Control Optimization doi: 10.1137/S0363012904440885 – volume: 54 start-page: 1609 year: 1999 ident: 9128_CR5 publication-title: Journal of Finance doi: 10.1111/0022-1082.00162 – volume: 41 start-page: 257 year: 2003 ident: 9128_CR16 publication-title: SIAM Journal of Control Optimization doi: 10.1137/S0363012901399337 – volume-title: Statistics of random processes I: General theory year: 2001 ident: 9128_CR12 – volume: 21 start-page: 1377 year: 1997 ident: 9128_CR6 publication-title: Journal of Economic Dynamics and Control doi: 10.1016/S0165-1889(97)00031-6 – volume: 20 start-page: 1 year: 2007 ident: 9128_CR13 publication-title: Review of Financial Studies doi: 10.1093/rfs/hhl001 – volume-title: Stochastic control of partially observable systems year: 1992 ident: 9128_CR2 doi: 10.1017/CBO9780511526503 – volume: 39 start-page: 337 year: 1999 ident: 9128_CR3 publication-title: Applied Mathematics and Optimization doi: 10.1007/s002459900110 – volume: 44 start-page: 414 year: 2005 ident: 9128_CR17 publication-title: Australian Economic Papers doi: 10.1111/j.1467-8454.2005.00269.x – volume: 37 start-page: 63 year: 2002 ident: 9128_CR18 publication-title: Journal of Financial and Quantitative Analysis doi: 10.2307/3594995 – volume: 5 start-page: 61 year: 2001 ident: 9128_CR19 publication-title: Finance and Stochastics doi: 10.1007/PL00000040 – volume: 24 start-page: 1145 year: 2000 ident: 9128_CR4 publication-title: Journal of Economic Dynamics and Control doi: 10.1016/S0165-1889(99)00017-2 – volume: 3 start-page: 373 year: 1971 ident: 9128_CR15 publication-title: Journal of Economic Theory doi: 10.1016/0022-0531(71)90038-X |
| SSID | ssj0007462 |
| Score | 1.865881 |
| Snippet | In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show... |
| SourceID | proquest repec crossref springer |
| SourceType | Aggregation Database Index Database Enrichment Source Publisher |
| StartPage | 151 |
| SubjectTerms | Econometrics Economic Theory/Quantitative Economics/Mathematical Methods Economics and Finance Expected utility Finance Hamilton-Jacobi-Bellman equation International Economics Investors Macroeconomics/Monetary Economics//Financial Economics Market prices Normal distribution Optimal portfolios Optimization Optimization techniques Ordinary differential equations Portfolio investments Risk management Stochastic market price of risk Studies Utility functions Verification theorem |
| SummonAdditionalLinks | – databaseName: SpringerLINK - Czech Republic Consortium dbid: AGYKE link: http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwlV1bb9MwFD6CVgL2wGUMUQbIDzyBMsWN4ziPU9mYQAUEGxpPluPYWumaVEs2qfx6jp245S7tIYlzcxLn-Pg7PjeAF6qgzFJLI8U4CiiKMSyN0ygZCxQnBI87Vcz0PT86YW9P09Pej7sJ1u5BJek59U_ObijJRU55myNTjVY3YejDbQ1guP_m67uDNQPOmM8jSl3YWBw9WVBm_q2SX4ejDcYcXpil0X-oR_2oc3gPjsP7dsYm873LttjT338L5XjND7oPd3sUSvY7snkAN0y1DbeCEfw23A7-yljemq4juzYP4duHiuAu-YKUa_v5PuId_M2C1Ja87jLcE2ehauvzWR1NvJOn50zkY5e-piFu-pd8bmt9plygaDL1ztfEJ6F31XyaNfMdODk8OJ4cRX2-hkizVLRRYeKSp0msEXTmseG5ymlaCBRZbKYRaSQ2zjONR5RCZFFYlfEy0QmzPC3VWGXJIxhUdWUeA0E2wrh14pTVjGuUC6koTBnbgpVpUmYjiMNvk7oPZu5yapzLTRhm17oSW1e61pWrEbxc37LsInn87-LdQAuy79SNFAh9hEBEO4KJJ491PXMENks7qxbySiaKClytcHHgCjczV8Rl6c6lVFLO5Vm7GMGrQBebZ_zzjZ5c6-pduNNNfjvLzKcwaC8uzTNET23xvO8tPwAF_A8- priority: 102 providerName: Springer Nature |
| Title | On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk |
| URI | https://link.springer.com/article/10.1007/s10690-010-9128-y http://econpapers.repec.org/article/kapapfinm/v_3a18_3ay_3a2011_3ai_3a2_3ap_3a151-166.htm https://www.proquest.com/docview/861388508 |
| Volume | 18 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| journalDatabaseRights | – providerCode: PRVLSH databaseName: SpringerLink Journals customDbUrl: mediaType: online eissn: 1573-6946 dateEnd: 99991231 omitProxy: false ssIdentifier: ssj0007462 issn: 1387-2834 databaseCode: AFBBN dateStart: 19970101 isFulltext: true providerName: Library Specific Holdings – providerCode: PRVPQU databaseName: ProQuest Central customDbUrl: http://www.proquest.com/pqcentral?accountid=15518 eissn: 1573-6946 dateEnd: 20171231 omitProxy: true ssIdentifier: ssj0007462 issn: 1387-2834 databaseCode: BENPR dateStart: 19990101 isFulltext: true titleUrlDefault: https://www.proquest.com/central providerName: ProQuest – providerCode: PRVPQU databaseName: ProQuest Technology Collection customDbUrl: eissn: 1573-6946 dateEnd: 20241105 omitProxy: true ssIdentifier: ssj0007462 issn: 1387-2834 databaseCode: 8FG dateStart: 19990101 isFulltext: true titleUrlDefault: https://search.proquest.com/technologycollection1 providerName: ProQuest – providerCode: PRVAVX databaseName: SpringerLINK - Czech Republic Consortium customDbUrl: eissn: 1573-6946 dateEnd: 99991231 omitProxy: false ssIdentifier: ssj0007462 issn: 1387-2834 databaseCode: AGYKE dateStart: 19970101 isFulltext: true titleUrlDefault: http://link.springer.com providerName: Springer Nature – providerCode: PRVAVX databaseName: SpringerLink Journals (ICM) customDbUrl: eissn: 1573-6946 dateEnd: 99991231 omitProxy: true ssIdentifier: ssj0007462 issn: 1387-2834 databaseCode: U2A dateStart: 19970101 isFulltext: true titleUrlDefault: http://www.springerlink.com/journals/ providerName: Springer Nature |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwfV3db9MwED9trcTHA4LBRBlUfuAJFJEPx3EeEGq7doOpZRoUjSfLcWKtbE3CGpD633N2PiqE2EMS58uJcs75dz7f_QBey8Sj2tOeIylDA0VSiiU_dAKfoznBmVu7YuYLdrqkny7Dyz2Yt7EwZlplqxOtok4LZcbI33HsdzhHOPGh_OkY0ijjXG0ZNGTDrJC-txnG9qHvm8RYPeiPp4vzi041R9QyjHomoSz2q7R1c9axdGgoOsY3HKPOdrZ_d1Q79Nm_zcpM_eM4tf3R7DE8aoAkGdWSfwJ7WX4A99p57Adwvw05xvLDeZecdfMUfnzOCe6Sb9j4dDNkR2yMfrYmhSbHNUk9MZNMdXGzKpyJjdO0yoWc1ww0G2JGcMmXqlBX0uR6JnMbP00sj7yp5mK1uX4Gy9n06-TUaSgXHEVDXjlJ5qYsDFyFuDF2MxbL2AsTjlaHjhSChUC7caTwiJQIDhItI5YGKqCahan0ZRQcQi8v8uw5ENQElGljEWlFmULTzuNJlro6oWkYpNEA3Pb7CtXkIze0GDdil0nZiESgSIQRidgO4E13S1kn47jr4qNWaKL5Lzeia0UDmFg5dvVcIzYp9Spfi98ikB7H1RYXg49wszJFXEpzLvSEx5i4qtYDeNu2gt0z_vtGL-58oyN4UI9Xm8mUL6FX3f7KXiHgqZIh7PPZyRD6o9l4vDDbk-9n02HTuPHs8dlHXC_90R-GGAEo |
| linkProvider | ProQuest |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwtR3LbtQwcFS6EoUDggJiKQ8f4AKKyMNxkkOFYNtqS7tLVVrUm-s4trq0m4RuAOXj-m8dO48VQvTWgxPnYcfyTObh8cwAvBGpR7WnPUdQhgqKoBRrfugEfozqRMzcxhQzmbLxMf1yEp6swFXnC2O2VXY00RLqrJBmjfxDjHwnjlGc-Fj-dEzSKGNc7TJoiDazQrZpI4y1fh17qv6DGtxic3cLwf3W93e2j0Zjp00y4EgaxpWTKjdjYeBKlJQSV7FEJF6Yxihn60giewy0m0QS7wiB7DDVImJZIAOqWZgJX0QB9nsHBjSgCep-g8_b04PDnhVE1GY09UwAW-TjtDOrNr57qJg6xhadII9w6r8Z41LaHVyqUsl_DLWW_-08hAet4Eo-NZj2CFZUvg53u33z67DWuThj_f6kDwa7eAw_vuYEL8l3RHbdLhESGxNAzUmhyVadC2xHzKZWXVzMCmdk_UItMSMHTcabBTErxuRbVcgzYWJLk4n11yY2b73p5nC2OH8Cx7cy-09hNS9y9QwIUh7KtNHAtKRMoirpxanKXJ3SLAyyaAhuN79ctvHPTRqOC76M3GxAwhEk3ICE10N41zcpm-AfN7280QGNt3RgwXusHcLIwrHv5xxloVLP8jn_zQPhxXiosRh5DE8zU8VSmmehxz3G-Fk1H8L7DguW3_jviJ7fOKLXsDY-muzz_d3p3gbca9bKzUbOF7BaXf5SL1HYqtJXLUoTOL3tv-ga-Gk31g |
| linkToPdf | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwtR3LbtQwcFRaqcABQQGxlIcPcAFFzcNxsgeE0C5LS9lSAUW9uY5jq0u7SWgCKJ_G3zGT1woheushifNyLM9kHp4XwDOVeNx61nMUF6igKM6x5YdO4MeoTsTCbU0x8wOxe8TfH4fHa_C7j4Uht8qeJjaEOs01rZHvxMh34hjFiR3beUUcTmevi-8OFZAiQ2tfTaPFkH1T_0LtrXy1N0VQP_f92dsvk12nKzDgaB7GlZMYNxVh4GqUksauEWM19sIkRhnbRhpZY2DdcaTxilLIChOrIpEGOuBWhKnyVRRgv9dgI6Ik7hSkPns3MIGIN7VMPUpdixyc9wbVNmoPVVKHrNBj5A5O_TdLXMm5GxemMPofE23D-Wa34VYnsrI3LY7dgTWTbcFm7zG_Bdf74GZs35wPaWDLu_DtY8bwlH1FNLfd4iBrsgGYJcstm9aZwvcYubPa_HyRO5MmIrQhY-ywrXVTMlorZp-rXJ8qyirN5k2kNmsq1lM3nxbl2T04upK5vw_rWZ6ZB8CQ5nBhSfeymguNSqQXJyZ1bcLTMEijEbj9_ErdZT6nAhzncpWzmUAiESSSQCLrEbwYXinatB-XPbzdA012FKCUA76OYNLAcejnDKWgwi6ypfwpA-XFuKtxI0kMDwtq4lbQvdCTnhDytFqO4GWPBatv_HdEDy8d0VPYxH9Hftg72N-GG-0iOXlwPoL16uKHeYxSVpU8afCZwclV_0B_AGV9NXA |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=On+the+Verification+Theorem+of+Dynamic+Portfolio-Consumption+Problems+with+Stochastic+Market+Price+of+Risk&rft.jtitle=Asia-Pacific+financial+markets&rft.au=Honda%2C+Toshiki&rft.au=Kamimura%2C+Shoji&rft.date=2011-05-01&rft.issn=1387-2834&rft.eissn=1573-6946&rft.volume=18&rft.issue=2&rft.spage=151&rft.epage=166&rft_id=info:doi/10.1007%2Fs10690-010-9128-y&rft.externalDBID=n%2Fa&rft.externalDocID=10_1007_s10690_010_9128_y |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=1387-2834&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=1387-2834&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=1387-2834&client=summon |