Optimal allocation-consumption problem for a portfolio with an illiquid asset
Journal article, 2016
91G10
illiquidity
random income
49L25
Mathematics
portfolio optimization
49L20
viscosity solutions
35Q93
91G80
Author
L. A. Bordag
I. P. Yamshchikov
Dmitrii Zhelezov
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematics
International Journal of Computer Mathematics
0020-7160 (ISSN) 10290265 (eISSN)
Vol. 93 5 749-760Subject Categories
Mathematics
DOI
10.1080/00207160.2013.877584