Title :
An investment and consumption problem for quadratic utility function in an incomplete market
Author :
Chang, Hao ; Chang, Kai
Author_Institution :
Dept. of Math., Tianjin Polytech. Univ., Tianjin, China
Abstract :
This paper is concerned with an investment and consumption problem in an incomplete market and takes quadratic utility function for our analysis. We firstly transform an incomplete market into complete one and derive the optimal investment and consumption strategy in the completed market by applying dynamic programming and Hamilton-Jacobi-Bellman(HJB) equation. Finally, a closed-form solution in an incomplete market is obtained according to the parameters relationship between the completed market and the original incomplete one.
Keywords :
dynamic programming; investment; marketing; stock markets; utility theory; HJB equation; Hamilton-Jacobi-Bellman equation; closed form solution; consumption problem; consumption strategy; dynamic programming; financial market; incomplete market; optimal investment; original incomplete market; quadratic utility function; Dynamic programming; Economics; Equations; Investments; Mathematical model; Portfolios; Stochastic processes; HJB equation; dynamic programming; incomplete market; investment and consumption; quadratic utility;
Conference_Titel :
Control and Decision Conference (CCDC), 2012 24th Chinese
Conference_Location :
Taiyuan
Print_ISBN :
978-1-4577-2073-4
DOI :
10.1109/CCDC.2012.6243027
