Optimal lifetime consumption and investment under a
β Scribed by Romuald Elie; Nizar Touzi
- Publisher
- Springer-Verlag
- Year
- 2008
- Tongue
- English
- Weight
- 680 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0949-2984
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## 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
We study the consumption and investment choice of an agent in a continuous-time economy with a riskless asset, several risky ΓΏnancial assets, and two consumption goods, namely a perishable and a durable good with an uncertain price evolution. Assuming lognormal prices and a multiplicatively separabl