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The Tradeoff between Consumption and Investment in Incomplete Financial Markets

被引：0
|
作者：
Wendell H. Fleming
Daniel Hernández-Hernández
机构：
[1] Division of Applied Mathematics,
[2] Brown University,undefined
[3] Providence,undefined
[4] RI 02912,undefined
[5] Centro de Investigacion en Matematicas,undefined
[6] Apartado Postal 402,undefined
[7] Guanajuato,undefined
[8] Gto. 36000,undefined
来源：
Applied Mathematics and Optimization | 2005年 / 52卷
关键词：
Merton model; Zero growth rate; Risk-sensitive control; Large deviations;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we are concerned with the tradeoff between long term growth of the expected utility of wealth and consumption. The goal is to find a consumption policy for which the optimal rate of capital growth is zero, i.e. a policy for which balance between consumption and investment is reached. The asymptotic limit of this investment problem when the HARA parameter γ → -∝ is also studied.
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页码：219 / 235
页数：16
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