Numerical methods for the stochastic adaptive control of an investment and consumption model with transaction fees

Author

Duncan, T.E. ; Pasik-Duncan, B. ; Zane, O.

Author_Institution

Dept. of Math., Kansas Univ., Lawrence, KS, USA

Volume

4

fYear

1995

fDate

13-15 Dec 1995

Firstpage

3360

Abstract

In this paper an adaptive control problem is formulated and theoretically and numerically solved for an investment and consumption model where the investor´s objective is to maximize the discounted utility. Various utility functions can be used. This model includes different transaction costs for transferring money between stocks and bonds by the purchase or the sale of stocks. The numerical methods for the stochastic adaptive control of this investment and consumption model are a continuation of the work in Duncan et al. (1994) where a model of Taksar-Klass-Assaf (1988) without consumption is considered

Keywords

adaptive control; differential equations; investment; numerical analysis; optimal control; stock markets; bonds; consumption model; discounted utility; investment; money transfer; numerical methods; optimal control; stochastic adaptive control; stochastic differential equations; stocks; transaction fees; utility functions; Adaptive control; Cost function; Differential equations; Investments; Marketing and sales; Mathematical model; Mathematics; Portfolios; Programmable control; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.479006

Filename

479006