OPTIMAL INVESTMENT MODELS WITH MINIMUM CONSUMPTION CRITERIA
β Scribed by WENDELL H. FLEMING
- Book ID
- 110972047
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 169 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0004-900X
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π SIMILAR VOLUMES
We consider the portfolio problem of an investor whose wealth is constrained to be at least as large as that generated by investment in a stochastic benchmark portfolio. Using standard option pricing results, the optimal portfolio policy of a HARA-utility investor is derived explicitly. This policy
## 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