Title :
Optimal Portfolio with Consumption Choice under Jump-Diffusion Process
Author_Institution :
Coll. of Inf. Technol., Jiangxi Univ. of Finance & Econ., Nanchang
fDate :
Aug. 30 2006-Sept. 1 2006
Abstract :
The optimal portfolio problem for a single riskless bond and risky stock modeled by jump-diffusion process has been established. The investment objective is maximizing the utility of his consumption and terminal wealth. The problem is formulated as a stochastic optimal control problem. The verification theorem and HJB equation for the optimal trading strategies are given by stochastic optimal control theory. The analytic solution for the constant relative risk aversion utility is obtained, and some simulation results are presented
Keywords :
investment; optimal control; pricing; stochastic processes; stock markets; HJB equation; consumption choice; investment; jump-diffusion process; optimal portfolio problem; optimal trading strategy; risky stock model; stochastic optimal control problem; verification theorem; Bonding; Educational institutions; Filtration; Finance; Information technology; Investments; Mathematical model; Optimal control; Portfolios; Stochastic processes;
Conference_Titel :
Innovative Computing, Information and Control, 2006. ICICIC '06. First International Conference on
Conference_Location :
Beijing
Print_ISBN :
0-7695-2616-0
DOI :
10.1109/ICICIC.2006.325
