๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Optimal investment and consumption with stochastic dividends

โœ Scribed by Xikui Wang; Yan Wang

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
145 KB
Volume
26
Category
Article
ISSN
1524-1904

No coin nor oath required. For personal study only.

โœฆ Synopsis

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 financial market consists of assets which follow Poisson distributions with known or unknown intensity rates. Two kinds of consumption patterns are defined and the optimality of the myopic strategy, the Gittins index strategy, and the playโ€theโ€winner strategy are discussed. Copyright ยฉ 2009 John Wiley & Sons, Ltd.

๐Ÿ“œ SIMILAR VOLUMES

An optimal investment and consumption mo
An optimal investment and consumption model with stochastic returns
โœ Xikui Wang; Yanqing Yi ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 122 KB

## 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

Optimal investment problem with stochast
Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility
โœ Jinzhu Li; Rong Wu ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 126 KB

## Abstract In this paper, we assume that an investor can invest his/her wealth in a bond and a stock. In our wealth model, the stochastic interest rate is described by a Coxโ€“Ingersollโ€“Ross (CIR) model, and the volatility of the stock is proportional to another CIR process. We obtain a closedโ€form

Optimal portfolio-consumption choice und
Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds
โœ Ying-Yin Chou; Nan-Wei Han; Mao-Wei Hung ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 286 KB

This research solves the intertemporal portfolio choice problems with and without interim consumption under stochastic inflation. We assume a oneโ€factor nominal interest rate and a oneโ€factor expected inflation rate, implying a twoโ€factor real interest rate in the economy. In contrast to other relat