Alghalith, Moawia (2011) General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets. Applied Mathematics, 02 (04). pp. 433-435. ISSN 2152-7385
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Official URL: https://doi.org/10.4236/am.2011.24054
Abstract
In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.
| Item Type: | Article |
|---|---|
| Subjects: | Euro Archives > Mathematical Science |
| Depositing User: | Managing Editor |
| Date Deposited: | 09 Jun 2023 04:00 |
| Last Modified: | 30 Oct 2023 03:59 |
| URI: | http://publish7promo.com/id/eprint/2670 |
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