An optimal consumption-investment problem for factor-dependent models

被引：0
|
作者：
Fleming, WH [1 ]
Hernández-Hernández, D
机构：
[1] Brown Univ, Div Appl Math, Providence, RI 02912 USA
[2] Ctr Invest Matemat, Guanajuato 36000, Mexico
来源：
STOCHASTIC THEORY AND CONTROL, PROCEEDINGS | 2002年 / 280卷
关键词：
stochastic volatility; portfolio optimization; factor modeling; mean reverting;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
An extension of the classical Merton model with consumption is considered when the diffusion coefficient of the asset prices depends on some economic factor. The objective is to maximize total expected discounted HARA utility of consumption. Optimal controls are provided as well as a characterization of the value function in terms of the associated Hamilton-Jacobi-Bellman equation.
引用
收藏
页码：121 / 130
页数：10
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