Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11889/4010
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dc.contributor.authorMousa, Abdelrahim-
dc.contributor.authorPinheiro, Diogo-
dc.contributor.authorPinto, Alberto-
dc.date.accessioned2017-01-03T13:40:11Z-
dc.date.available2017-01-03T13:40:11Z-
dc.date.issued2015-01-01-
dc.identifier.isbn978-3-319-20328-7-
dc.identifier.issn2364-950X-
dc.identifier.urihttp://link.springer.com/chapter/10.1007%2F978-3-319-20328-7_17-
dc.identifier.urihttp://hdl.handle.net/20.500.11889/4010-
dc.description.abstractWe 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).en_US
dc.language.isoenen_US
dc.publisherSpringer International Publishingen_US
dc.relation.ispartofseriesCIM Series in Mathematical Sciences;-
dc.subjectCapital movementsen_US
dc.subjectStochastic ordersen_US
dc.subjectCapital investmentsen_US
dc.subjectRisk - Mathematical modelsen_US
dc.titleA consumption-investment problem with a diminishing basket of goodsen_US
dc.typeBook chapteren_US
newfileds.departmentScienceen_US
newfileds.item-access-typeopen_accessen_US
newfileds.thesis-prognoneen_US
newfileds.general-subjectMathematical Sciences | العلوم الرياضية-الرياضياتen_US
item.grantfulltextopen-
item.fulltextWith Fulltext-
item.languageiso639-1other-
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