Optimal Investment and Consumption with Default Risk: HARA Utility
โ Scribed by Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei
- Book ID
- 120926049
- Publisher
- Springer
- Year
- 2013
- Tongue
- English
- Weight
- 722 KB
- Volume
- 20
- Category
- Article
- ISSN
- 1573-6946
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This paper examines the continuous time optimal consumption and portfolio choice of an investor having an initial wealth endowment and an uncertain stream of income from non-traded assets. The income stream is not spanned by traded assets and the investor is not allowed to borrow against future inco
## 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