DocumentCode
3310381
Title
An optimal investment problem with randomly terminating income
Author
Vellekoop, Michel ; Davis, Mark
Author_Institution
FELab, Univ. of Twente, Enschede, Netherlands
fYear
2009
fDate
15-18 Dec. 2009
Firstpage
3650
Lastpage
3655
Abstract
We investigate an optimal consumption and investment problem where we receive a certain fixed income stream that is terminated at a random time. It turns out that the optimal strategy and the value function for this problem differ considerably from the case where our income stream is certain to continue indefinitely. More specifically, the optimal consumption policy involves a function that is not analytic around the point that represents zero wealth.
Keywords
investment; random processes; optimal consumption; optimal investment problem; randomly terminating income; Brownian motion; Closed-form solution; Computer science; Equations; Infinite horizon; Investments; Mathematics; Remuneration; Stochastic processes; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location
Shanghai
ISSN
0191-2216
Print_ISBN
978-1-4244-3871-6
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2009.5400455
Filename
5400455
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