2 papers
q-fin.MF2026
Optimal Investment and Consumption in Financial Markets with Integrated Variance Clocks
Eduardo Abi Jaber, Florian Gutekunst, Martin Herdegen +1
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreas…
q-fin.MF2025
Optimal Investment and Consumption in a Stochastic Factor Model
Florian Gutekunst, Martin Herdegen, David Hobson
In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of…