Title :
A numerical method for consumption-portfolio problems
fDate :
June 29 2011-July 1 2011
Abstract :
A numerical framework for continuous-time consumption-portfolio problems is set up by Markov chain approximation with the logarithmic transformation (We call it MCALT1 algorithm). We show that the complexity of the algorithm is a polynomial. An example with and with prohibition of short-sale on risky securities is provided to demonstrate the proposed numerical method.
Keywords :
Markov processes; approximation theory; computational complexity; financial management; Markov chain approximation; consumption-portfolio problem; continuous-time problem; logarithmic transformation; polynomial complexity; risky security; short-sale prohibition; Boundary conditions; Equations; Marketing and sales; Markov processes; Mathematical model; Portfolios; Security; HJB equations; Markov chain approximation; absorbing boundary conditions; logarithmic transformation; utilities with subsistence levels;
Conference_Titel :
American Control Conference (ACC), 2011
Conference_Location :
San Francisco, CA
Print_ISBN :
978-1-4577-0080-4
DOI :
10.1109/ACC.2011.5991218
