3 citations · 3 across the 6 of their papers we have counts for
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q-fin.MF2020★ 3 cited
Duality for optimal consumption with randomly terminating income
Ashley Davey, Michael Monoyios, Harry Zheng
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that…
q-fin.PM2020
Infinite horizon utility maximisation from inter-temporal wealth
Michael Monoyios
We develop a duality theory for the problem of maximising expected lifetime utility from inter-temporal wealth over an infinite horizon, under the minimal no-arbitrage assumption o…
q-fin.PM2020
Duality for optimal consumption under no unbounded profit with bounded risk
Michael Monoyios
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk…