Portfolio Rules with Log Consumption Utility and Cox–Ingersoll–Ross Interest Rate

被引：1
|
作者：
Babin V.A. [1 ]
机构：
[1] Moscow State University, Moscow
来源：
Computational Mathematics and Modeling | 2015年 / 26卷 / 2期
关键词：
Cox–Ingersoll–Ross model; financial portfolio; log utility function; optimal consumption; upper and lower solution method;
D O I：
10.1007/s10598-015-9266-1
中图分类号：
学科分类号：
摘要：
We consider the portfolio management problem with the objective of consumption optimization. Dynamic programming is applied to find the portfolio and consumption management strategy. Lower and upper solutions of an ordinary differential equation are applied to prove that the proposed strategy is optimal for an infinite planning horizon with a log utility function and interest rate specified by the generalized Cox–Ingersoll–Ross model. The optimal control is determined analytically for the Vasicek model. © 2015, Springer Science+Business Media New York.
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页码：175 / 183
页数：8
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