DocumentCode
2670269
Title
One kind of corporate international optimal investment and consumption choice problem
Author
Huang Zongyuan ; Wu Zhen
Author_Institution
Sch. of Math., Shandong Univ., Jinan
fYear
2008
fDate
16-18 July 2008
Firstpage
603
Lastpage
606
Abstract
In this paper, we study a the specific hyperbolic absolute risk aversion (HARA) case of corporate international optimal portfolio and consumption choice problem. The investor can invest his wealth in a domestic bond (bank account). On the other hand, he can invest his money to a real project with production in a foreign country. Using the celebrated dynamical programming principle method we provide the explicit optimal investment and consumption solution and give some simulation results to illustrates the influence of the volatility parameters on the optimal choice.
Keywords
dynamic programming; international finance; international trade; bank account; consumption choice problem; corporate international optimal investment; corporate international optimal portfolio; domestic bond; dynamical programming principle method; hyperbolic absolute risk aversion; Biological system modeling; Economics; Equations; Exchange rates; Portfolios; Production; Stochastic processes; Dynamic Programming Principle; Hamilton-Jacobi-Bellman Equations; Investment Choice;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference, 2008. CCC 2008. 27th Chinese
Conference_Location
Kunming
Print_ISBN
978-7-900719-70-6
Type
conf
DOI
10.1109/CHICC.2008.4605748
Filename
4605748
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