• 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