Optimal investment consumption model with a higher interest rate for borrowing
| Autor: | Wu Rangquan, Fei Weiyin |
|---|---|
| Rok vydání: | 2000 |
| Předmět: |
Stochastic control
Mathematical optimization Applied Mathematics media_common.quotation_subject Mathematics::Optimization and Control Dividend yield Duality (optimization) Decision problem Interest rate Econometrics Portfolio Expected utility hypothesis Rendleman–Bartter model Mathematics media_common |
| Zdroj: | Applied Mathematics-A Journal of Chinese Universities. 15:350-358 |
| ISSN: | 1993-0445 1005-1031 |
| DOI: | 10.1007/s11766-000-0060-1 |
| Popis: | This paper considers a consumption and investment decision problem with a higher interest rate for borrowing as well as the dividend rate. Wealth is divided into a riskless asset and risky asset with logrithmic Brownian motion price fluctuations. The stochastic control problem of maximizating expected utility from terminal wealth and consumption is studied. Equivalent conditions for optimality are obtained. By using duality methods the existence of optimal portfolio consumption is proved, and the explicit solutions leading to feedback formulae are derived for deteministic coefficients. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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