Title :
Optimal Investment and Consumption Model with One Factor
Author_Institution :
Coll. of Inf. Technol., Jiangxi Univ. of Finance & Economic, Nanchang
Abstract :
The optimal portfolio problem for a bank account, single risky stock is developed. The investment objective is maximizing the utility of the investorpsilas consumption and terminal wealth. The problem has been solved by the stochastic dynamic programming principle. For the constant relative risk aversion utility case, the explicitly optimal investment consumption strategies are obtained. A numerical example is presented.
Keywords :
banking; dynamic programming; investment; risk management; stochastic programming; stock markets; bank account; optimal investment consumption; optimal portfolio; risk aversion utility case; risky stock; stochastic dynamic programming; terminal wealth; Conference management; Control theory; Cost function; Economics; Financial management; Investments; Portfolios; Security; Stochastic processes; Technology management; Portfolio; constant relative risk aversion; stochastic dynamic programming principle;
Conference_Titel :
Management of e-Commerce and e-Government, 2008. ICMECG '08. International Conference on
Conference_Location :
Jiangxi
Print_ISBN :
978-0-7695-3366-7
DOI :
10.1109/ICMECG.2008.38
