DocumentCode
3475543
Title
Consumption-investment models with constraints
Author
Zariphopoulou, Thaleia
Author_Institution
Dept. of Math. Sci., Worcester Polytech. Inst., MA, USA
fYear
1991
fDate
11-13 Dec 1991
Firstpage
1311
Abstract
The author treats a general consumption and investment problem for a single agent who consumes and distributes his wealth, dynamically, between a bond and a stock. The agent faces trading constraints: bankruptcy never occurs and the amount invested in stock must not exceed an exogeneous function of the current wealth. The objective is to maximize the expected utility of consumption. The value function is shown to be a smooth solution of the associated Bellman equation and the optimal policies are determined
Keywords
investment; optimal control; optimisation; Bellman equation; bond; consumption-investment model; expected utility maximisation; optimal control; optimal policies; optimisation; smooth solution; stock; trading constraints; value function; Bonding; Economic indicators; Equations; Investments; Optimal control; Partial differential equations; Portfolios; Security; Stochastic processes; Utility theory; Viscosity;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location
Brighton
Print_ISBN
0-7803-0450-0
Type
conf
DOI
10.1109/CDC.1991.261600
Filename
261600
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