3 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…
econ.GN2024
Portfolio Optimization under Transaction Costs with Recursive Preferences
Martin Herdegen, David Hobson, Alex S. L. Tse
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, whi…