An optimal consumption model with stochastic volatility
✍ Scribed by Wendell H. Fleming; Daniel Hernández-Hernández
- Book ID
- 106235924
- Publisher
- Springer-Verlag
- Year
- 2003
- Tongue
- English
- Weight
- 160 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0949-2984
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract We consider a financial market consisting of a risky asset and a riskless one, with a constant or random investment horizon. The interest rate from the riskless asset is constant, but the relative return rate from the risky asset is stochastic with an unknown parameter in its distributi
## Abstract We use the statistical model of bandit processes to formulate and solve two kinds of optimal investment and consumption problems. The payoffs from the investment are dividend payments with fixed return rates, but the payment frequency is stochastic following a Poisson distribution. The