DocumentCode
3172943
Title
Optimal Investment and Consumption Model with One Factor
Author
Dong, Jiuying
Author_Institution
Coll. of Inf. Technol., Jiangxi Univ. of Finance & Economic, Nanchang
fYear
2008
fDate
17-19 Oct. 2008
Firstpage
273
Lastpage
276
Abstract
The optimal portfolio problem for a bank account, single risky stock is developed. The investment objective is maximizing the utility of the investorpsilas consumption and terminal wealth. The problem has been solved by the stochastic dynamic programming principle. For the constant relative risk aversion utility case, the explicitly optimal investment consumption strategies are obtained. A numerical example is presented.
Keywords
banking; dynamic programming; investment; risk management; stochastic programming; stock markets; bank account; optimal investment consumption; optimal portfolio; risk aversion utility case; risky stock; stochastic dynamic programming; terminal wealth; Conference management; Control theory; Cost function; Economics; Financial management; Investments; Portfolios; Security; Stochastic processes; Technology management; Portfolio; constant relative risk aversion; stochastic dynamic programming principle;
fLanguage
English
Publisher
ieee
Conference_Titel
Management of e-Commerce and e-Government, 2008. ICMECG '08. International Conference on
Conference_Location
Jiangxi
Print_ISBN
978-0-7695-3366-7
Type
conf
DOI
10.1109/ICMECG.2008.38
Filename
4656639
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