We examine consumption and investment decisions in a life-cycle model with habit formation, stochastic opportunity set, stochastic wages and labor supply exibility. Retirement is taken into account by specifying an age at which labor earnings stop, but consumption spending continues. Explicit soluti
A direct method in optimal portfolio and consumption choice
โ Scribed by Wu Zhen; Xu Wensheng
- Book ID
- 112819462
- Publisher
- SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
- Year
- 1996
- Tongue
- English
- Weight
- 265 KB
- Volume
- 11
- Category
- Article
- ISSN
- 1005-1031
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๐ SIMILAR VOLUMES
This research solves the intertemporal portfolio choice problems with and without interim consumption under stochastic inflation. We assume a oneโfactor nominal interest rate and a oneโfactor expected inflation rate, implying a twoโfactor real interest rate in the economy. In contrast to other relat
## Abstract This paper shows how one can use the theory of hidden Markov models for portfolio optimization. We illustrate our method by a ball and urn experiment. An application to historical data is examined. Copyright ยฉ 2003 John Wiley & Sons, Ltd.