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

Hindy, Ayman

Softcover

ISBN 10: 1332273262 ISBN 13: 9781332273263

Verlag: Forgotten Books, 2015

Inhaltsangabe

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.

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Details zur Ausgabe

• Verlag: Forgotten Books
• Erscheinungsdatum: 2015
• Sprache: Englisch
• ISBN 10: 1332273262
• ISBN 13: 9781332273263
• Einband: Taschenbuch
• Anzahl der Seiten: 42
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