Consumption-Investment Problems with the One-Shot Decision Theory

In this paper, a multi-period consumption-investment problem with partially known information is considered. In each period, an investor has one and only one chance to allocate the consumption and investment, and choose a suitable investment strategy at the same time. The project is to maximize the sum of possible discounted consumption over the whole process (lifetime). The optimal strategy in each period is obtained based on the one-shot decision theory. That is, the investor chooses one of states of nature (scenario) of each strategy in every period with considering the satisfaction of the outcome and its possibility. The selected state of nature is called the focus point. Based on the focus points, the investor determines the optimal strategy in each period by dynamic programming.