Title :
On the optimal balance between consumption and investment
Author :
Fleming, Wendell H. ; Hernández-Hernández, Daniel
Author_Institution :
Div. of Appl. Math., Brown Univ., Providence, RI, USA
Abstract :
In this paper we are concerned with the tradeoff between long term growth of the expected utility of wealth and consumption. The goal is to find a consumption policy for which the optimal rate of capital growth is zero, i.e. a policy for which balance between consumption and investment is reached.
Keywords :
investment; optimal control; optimisation; stochastic systems; utility theory; capital growth rate; consumption policy; expected utility; long term growth; optimal balance; optimal rate; Asset management; Differential equations; Economic indicators; Investments; Mathematics; Optimal control; Portfolios; Stochastic processes; Utility theory; Yttrium;
Conference_Titel :
Decision and Control, 2004. CDC. 43rd IEEE Conference on
Print_ISBN :
0-7803-8682-5
DOI :
10.1109/CDC.2004.1429352
