Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11889/4010
Title: | A consumption-investment problem with a diminishing basket of goods | Authors: | Mousa, Abdelrahim Pinheiro, Diogo Pinto, Alberto |
Keywords: | Capital movements;Stochastic orders;Capital investments;Risk - Mathematical models | Issue Date: | 1-Jan-2015 | Publisher: | Springer International Publishing | Series/Report no.: | CIM Series in Mathematical Sciences; | Abstract: | We consider the problem faced by an economic agent trying to find the optimal strategies for the joint management of her consumption from a basket of K goods that may become unavailable for consumption from some random time τ onward, and her investment portfolio in a financial market model comprised of one risk-free security and an arbitrary number of risky securities driven by a multi-dimensional Brownian motion. We apply previous abstract results on stochastic optimal control problem with multiple random time horizons to obtain a sequence of dynamic programming principles and the corresponding Hamilton-Jacobi-Bellman equations. We then proceed with a numerical study of the value function and corresponding optimal strategies for the problem under consideration in the case of discounted constant relative risk aversion utility functions (CRRA). | URI: | http://link.springer.com/chapter/10.1007%2F978-3-319-20328-7_17 http://hdl.handle.net/20.500.11889/4010 |
ISBN: | 978-3-319-20328-7 | ISSN: | 2364-950X |
Appears in Collections: | Fulltext Publications |
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File | Description | Size | Format | |
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A Consumption-Investment Problem with a Diminishing Basket of Goods.pdf | 4.99 MB | Adobe PDF | View/Open |
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