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M. Alghalith, “A New Stochastic Factor Model: General Explicit Solutions,” Applied Mathematics Letters, Vol. 22, No. 12, 2009, pp. 1852-1854. doi:10.1016/j.aml.2009.07.011
has been cited by the following article:
TITLE: General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets
AUTHORS: Moawia Alghalith
KEYWORDS: Stochastic, Incomplete Markets, Investment
JOURNAL NAME: Applied Mathematics, Vol.2 No.4, March 31, 2011
ABSTRACT: In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.
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