A new approach to stochastic optimization: the investment-consumption model

Moawia, Alghalith (2009): A new approach to stochastic optimization: the investment-consumption model.

Abstract

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
• Language: English
• Keywords: portfolio, investment, stochastic optimization
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions

References

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