Abstract
This chapter solves the problem of an agent who begins with an initial endowment and who can consume while also investing in a standard, complete market as set forth in Chapter 1. The objective of this agent is to maximize the expected utility of consumption over the planning horizon, or to maximize the expected utility of wealth at the end of the planning horizon, or to maximize some combination of these two quantities.
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© 1998 Springer-Verlag New York, Inc.
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Karatzas, I., Shreve, S.E. (1998). Single-Agent Consumption and Investment. In: Methods of Mathematical Finance. Probability Theory and Stochastic Modelling, vol 39. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-6845-9_3
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DOI: https://doi.org/10.1007/978-1-4939-6845-9_3
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4939-6814-5
Online ISBN: 978-1-4939-6845-9
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