Moawia, Alghalith (2009): A new approach to stochastic optimization: the investment-consumption model.
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We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.
|Item Type:||MPRA Paper|
|Original Title:||A new approach to stochastic optimization: the investment-consumption model|
|Keywords:||portfolio, investment, stochastic optimization|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions|
|Depositing User:||Moawia Alghalith|
|Date Deposited:||16. Dec 2009 05:36|
|Last Modified:||16. Feb 2013 05:59|
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