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E. Bayraktar and V. Young, “Optimal Investment Strategy to Minimize Occupation Time,” Annals of Operations Research, Vol. 176, No. 1, 2010, pp. 389-408. doi:10.1007/s10479-008-0467-2

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.