Optimal Consumption and Portfolio Rules: With Local Substitution (Classic Reprint) - Softcover

Ayman Hindy

Softcover

ISBN 10: 1332273262 ISBN 13: 9781332273263

Publisher: Forgotten Books, 2019

Synopsis

Excerpt from Optimal Consumption and Portfolio Rules: With Local Substitution

Now consider an agent with a time-additive utility function for consumption, u(c,t) and an initial wealth W0 0. Assume throughout that u(c,t) is continuous in concave and increasing in c, and is possibly unbounded from below at c 0. This agent wants to manage a portfolio of the risky securities and the bond, and withdraw funds out of the portfolio to maximize his expected utility of consumption over time. Our task here is to find conditions on the utility function and on the price processes to guarantee the existence of a solution to the agent's problem.

About the Publisher

Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com

This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

About this title

Product Description

Excerpt from Optimal Consumption and Portfolio Rules: With Local Substitution We provide sufficient conditions for the existence of a solution to a consumption and portfolio problem in continuous time under uncertainty with an infinite horizon. When the price processes for securities are diffusion processes, optimal policies can be computed by solving a linear partial differential equation. We also provide conditions under which the solution to an infinite horizon problem is the limit of the solutions to finite horizon problems when the horizon increases to infinity. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Edition details

• Publisher: Forgotten Books
• Publication date: 2019
• Language: English
• ISBN 10: 1332273262
• ISBN 13: 9781332273263
• Binding: Paperback
• Number of pages: 41