Alghalith, Moawia (2009): General closed-form solutions to the dynamic optimization problem in incomplete markets.
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In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.
|Item Type:||MPRA Paper|
|Original Title:||General closed-form solutions to the dynamic optimization problem in incomplete markets|
|Keywords:||portfolio, incomplete markets, stochastic, dynamic,investment, consumption|
|Subjects:||D - Microeconomics > D2 - Production and Organizations > D21 - Firm Behavior: Theory
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
|Depositing User:||Moawia Alghalith|
|Date Deposited:||12. Apr 2010 02:02|
|Last Modified:||19. Feb 2013 11:05|
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General closed-form solutions to the dynamic optimization problem in incomplete markets. (deposited 16. Dec 2009 05:43)
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