Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case

By Giorgio Ferrari, Tim Niclas Schütz

Published 2026-03-12

Everscope rating

1809.7

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Lagrange Duality with Singular Stochastic Control and Optimal Stopping. Problem types: Portfolio Optimization, Optimization, Risk Management.

arXiv:2603.02820 · Paper rankings

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