Optimal investment and consumption strategies for small investor using Bellman´s principle of optimality

Author

Surya, Budhi Arta ; Rahadi, R.A. ; Juliarto, R.

Author_Institution

Sch. of Bus. & Manage., Bandung Inst. of Technol., Bandung, Indonesia

fYear

2011

fDate

17-19 July 2011

Firstpage

1

Lastpage

4

Abstract

This paper discusses optimal investment and consumption strategies in discrete-time setting for a small utility-maximizing investor in a finite-time horizon. The investor is interested in maximizing his/her final utility of wealth with respect to his/her investment and consumption strategies. Within discrete-time framework, we solve the problem using Bellman´s principle of optimality. To illustrate the problem, we give some numerical examples based on lattice modelling of stock price movement and make use of MAPLE programming language.

Keywords

dynamic programming; investment; stock markets; Bellman principle; MAPLE programming language; discrete time framework; discrete time setting; finite time horizon; optimal consumption strategies; optimal investment strategies; stock price movement; Dynamic programming; Economic indicators; Equations; Investments; Mathematical model; Random variables; Uncertainty; Bellman´s principle of optimality; Optimal investment; dynamic programming; lattice model of stocks;

fLanguage

English

Publisher

ieee

Conference_Titel

Electrical Engineering and Informatics (ICEEI), 2011 International Conference on

Conference_Location

Bandung

ISSN

2155-6822

Print_ISBN

978-1-4577-0753-7

Type

conf

DOI

10.1109/ICEEI.2011.6021844

Filename

6021844