The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility

Sahar Albosaily () and Serguei Pergamenshchikov ()
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Sahar Albosaily: UMR 6085 CNRS - Université de Rouen, Laboratoire de Mathématiques Raphael Salem
Serguei Pergamenshchikov: UMR 6085 CNRS - Université de Rouen, Laboratoire de Mathématiques Raphael Salem

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 33-37 from Springer

Abstract: Abstract We consider a spread financial market. We construct the optimal consumption/investment strategy for the power utility function. We study the Hamilton–Jacobi–Bellman (HJB) equation by the Feynman–Kac (FK) representation. We study the numeric approximation and we establish the convergence rate.

Keywords: Optimality; Feynman–Kac mapping; Hamilton–Jacobi–Bellman equation; Itô formula; Brownian motion; Ornstein–Uhlenbeck process; Stochastic processes; Financial market; Spread market (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_6

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DOI: 10.1007/978-3-319-89824-7_6

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