Title :
Consumption-investment models with constraints
Author :
Zariphopoulou, Thaleia
Author_Institution :
Dept. of Math. Sci., Worcester Polytech. Inst., MA, USA
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;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261600
