The Tradeoff between Consumption and Investment in Incomplete Financial Markets |
| |
| Authors: | Wendell H. Fleming Daniel Hernández-Hernández |
| |
| Affiliation: | (1) Division of Applied Mathematics, Brown University, Providence, RI 02912, USA;(2) Centro de Investigacion en Matematicas, Apartado Postal 402, Guanajuato, Gto. 36000, Mexico |
| |
| Abstract: | 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. |
| |
| Keywords: | Merton model Zero growth rate Risk-sensitive control Large deviations |
| 本文献已被 SpringerLink 等数据库收录！ |
|
