Worst-case Optimal Investment and Consumption PDF Download

Author: Tina Engler
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Worst-case optimization; stochastic interest rate; optimal investment and consumption; stochastic optimal control; HARA utility

Author: Thaleia Zariphopoulou-Souganidis
Publisher:
ISBN:
Category :
Languages : en
Pages : 113

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Author: Bahman Angoshtari
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Thaleia Zariphopoulou
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 136

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Author: Steven E. Shreve
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 77

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Abstract: "A complete solution is provided to the infinite-horizon, discounted problem of optimal consumption and investment in a market with one stock, one money market (sometimes called a 'bond'), and proportional transaction costs. The utility function may be of the form c[superscript p]/p where p

Author: Jayson L. Lusk
Publisher: Oxford Handbooks
ISBN: 0199681325
Category : Business & Economics
Languages : en
Pages : 923

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First reference on food consumption and policy.

Author: Michèle Breton
Publisher: Springer Science & Business Media
ISBN: 0387251189
Category : Business & Economics
Languages : en
Pages : 268

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GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.

Author: Byung Hwa Lim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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In this paper we consider a general optimal consumption-portfolio selection problem of an infinitely-lived agent whose consumption rate process is subject to subsistence constraints before retirement. That is, her consumption rate should be greater than or equal to some positive constant before retirement. We integrate three optimal decisions which are the optimal consumption, the optimal investment choice and the optimal stopping problem in which the agent chooses her retirement time in one model. We obtain the explicit forms of optimal policies using a martingale method and a variational inequality arising from the dual function of the optimal stopping problem. We treat the optimal retirement time as the first hitting time when her wealth exceeds a certain wealth level which will be determined by a free boundary value problem and duality approaches. We also derive closed forms of the optimal wealth processes before and after retirement. Some numerical examples are presented for the case of constant relative risk aversion (CRRA) utility class.

Author: Niles Hemming Hakansson
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 143

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The research formalizes Irving Fisher's model of the individual under risk, and represents at the same time a generalization of Phelphs' model of personal saving (Econometrica, October 1962). The objective of the individual is postulated to be the maximization of expected utility from consumption over time where the horizon is arbitrarily distant. The individual's resources consist of an initial capital position (which may be negative) and a non-capital income stream which is known with certainty but which may possess any time-shape. The individual faces both financial opportunities (borrowing and lending) and an arbitrary number of productive investment opportunities. The interest rate is presumed to be known and invariant over time; the case when the borrowing rate exceeds the lending rate is examined for a specialized model. The returns from the productive opportunities are assumed to be random variables, whose probability distributions may differ from period to period. The basic (Fisherian) characteristic of the approach taken is that the portfolio composition decision, the financing decision, and the consumption decision are all analyzed simultaneously in one model. The vehicle of analysis is discrete-time dynamic programming.

Author: An Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

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Book Description
We analyze an optimal consumption and investment problem for a representative agent who may have different preferences for consumption and for terminal wealth. The utility for consumption is characterized by constant relative risk aversion so consumption is always positive. In contrast, the agent's risk aversion with regard to final wealth does not necessarily imply he must end up with positive terminal wealth. Indeed, we define the risk aversion for both positive and negative wealth levels and require it to be positive but not monotone. There is a point of maximal risk aversion at zero wealth and the agent may continue to consume when his wealth is negative.Using dual methods we can derive explicit solutions for this problem in a multi-asset economy which takes survival probabilities of the agent into account. This allows us to study the optimal patterns for consumption and investment and compare them to the case where terminal debt is not allowed.