Optimal Portfolio with Consumption Choice under Jump-Diffusion Process

Author

Wan, Shuping

Author_Institution

Coll. of Inf. Technol., Jiangxi Univ. of Finance & Econ., Nanchang

Volume

2

fYear

2006

fDate

Aug. 30 2006-Sept. 1 2006

Firstpage

462

Lastpage

465

Abstract

The optimal portfolio problem for a single riskless bond and risky stock modeled by jump-diffusion process has been established. The investment objective is maximizing the utility of his consumption and terminal wealth. The problem is formulated as a stochastic optimal control problem. The verification theorem and HJB equation for the optimal trading strategies are given by stochastic optimal control theory. The analytic solution for the constant relative risk aversion utility is obtained, and some simulation results are presented

Keywords

investment; optimal control; pricing; stochastic processes; stock markets; HJB equation; consumption choice; investment; jump-diffusion process; optimal portfolio problem; optimal trading strategy; risky stock model; stochastic optimal control problem; verification theorem; Bonding; Educational institutions; Filtration; Finance; Information technology; Investments; Mathematical model; Optimal control; Portfolios; Stochastic processes;

fLanguage

English

Publisher

ieee

Conference_Titel

Innovative Computing, Information and Control, 2006. ICICIC '06. First International Conference on

Conference_Location

Beijing

Print_ISBN

0-7695-2616-0

Type

conf

DOI

10.1109/ICICIC.2006.325

Filename

1692025