Title :
On an estimation in a portfolio and consumption model
Author_Institution :
Dept. of Math., Kansas Univ., Lawrence, KS, USA
Abstract :
In this paper, we consider the estimation of a continuous-time single-agent consumption and portfolio decision problem with subsistence consumption, bankruptcy and general HARA utility functions. It is assumed that the drift parameter for the price of the risky asset is unknown. A recursive family of estimators for this unknown parameter is defined and is shown to converge almost surely to the true value of the parameter. The rate of convergence in a sample path sense is given for a strongly consistent, recursive estimator
Keywords :
decision theory; finance; investment; parameter estimation; almost sure convergence; bankruptcy; consumption model; continuous-time single-agent decision problem; convergence rate; drift parameter; general HARA utility functions; investment; portfolio model; strongly consistent recursive estimator; subsistence consumption; Differential equations; Investments; Mathematics; Portfolios; Recursive estimation; Stochastic processes;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325868
