Optimal investment and consumption strategies for small investor using Bellman´s principle of optimality

This paper discusses optimal investment and consumption strategies in discrete-time setting for a small utility-maximizing investor in a finite-time horizon. The investor is interested in maximizing his/her final utility of wealth with respect to his/her investment and consumption strategies. Within discrete-time framework, we solve the problem using Bellman´s principle of optimality. To illustrate the problem, we give some numerical examples based on lattice modelling of stock price movement and make use of MAPLE programming language.