A CONSUMPTION-INVESTMENT PROBLEM MODELLED AS A DISCOUNTED MARKOV DECISION PROCESS

被引：0

作者：

Cruz-Suarez, Hugo ^{[1
]}

Montes-de-Oca, Raul ^{[2
]}

Zacarias, Gabriel ^{[1
]}

机构：

[1] Benemerita Univ Autonoma Puebla, Fac Ciencias Fis Matemat, Puebla 72570, Mexico

[2] UAM Iztapalapa, Dept Matemat, Mexico City 09340, DF, Mexico

来源：

KYBERNETIKA | 2011年 / 47卷 / 06期

关键词：

discounted Markov decision processes; differentiable value function; differentiable optimal policy; stochastic Euler equation; consumption and investment problems; ECONOMIC-GROWTH; UNCERTAINTY; RETURNS; RISK;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper a problem of consumption and investment is presented as a model of a discounted Markov decision process with discrete-time. In this problem, it is assumed that the wealth is affected by a production function. This assumption gives the investor a chance to increase his wealth before the investment. For the solution of the problem there is established a suitable version of the Euler Equation (EE) which characterizes its optimal policy completely, that is, there are provided conditions which guarantee that a policy is optimal for the problem if and only if it satisfies the EE. The problem is exemplified in two particular cases: for a logarithmic utility and for a Cobb-Douglas utility. In both cases explicit formulas for the optimal policy and the optimal value function are supplied.

引用

页码：909 / 929

页数：21

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