OPTIMAL INVESTMENT AND CONSUMPTION WITH STOCHASTIC FACTOR AND DELAY
| Autor: | L. Li, Hui Mi |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Consumption (economics)
Mathematical optimization 0209 industrial biotechnology Computer science 010103 numerical & computational mathematics General Medicine 02 engineering and technology Investment (macroeconomics) 01 natural sciences Stochastic programming Variable (computer science) 010104 statistics & probability Cox–Ingersoll–Ross model 020901 industrial engineering & automation Mathematics (miscellaneous) Isoelastic utility Portfolio Asset (economics) 0101 mathematics |
| Zdroj: | The ANZIAM Journal. 61:99-117 |
| ISSN: | 1446-8735 1446-1811 |
| DOI: | 10.1017/s1446181119000014 |
| Popis: | We analyse an optimal portfolio and consumption problem with stochastic factor and delay over a finite time horizon. The financial market includes a risk-free asset, a risky asset and a stochastic factor. The price process of the risky asset is modelled as a stochastic differential delay equation whose coefficients vary according to the stochastic factor; the drift also depends on its historical performance. Employing the stochastic dynamic programming approach, we establish the associated Hamilton–Jacobi–Bellman equation. Then we solve the optimal investment and consumption strategies for the power utility function. We also consider a special case in which the price process of the stochastic factor degenerates into a Cox–Ingersoll–Ross model. Finally, the effects of the delay variable on the optimal strategies are discussed and some numerical examples are presented to illustrate the results. doi:10.1017/S1446181119000014 |
| Databáze: | OpenAIRE |
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