Infinite Horizon Investment--Consumption Policies

Robert A. Abrams and Uday S. Karmarkar
Additional contact information
Robert A. Abrams: University of Illinois at Chicago Circle
Uday S. Karmarkar: University at Rochester

Management Science, 1979, vol. 25, issue 10, 1005-1013

Abstract: We consider an infinite horizon investment-consumption problem in which the objective is to mmimize the discounted sum of the one period utilities. The one period utility function is assumed to be concave but may be unbounded. Both the state and action spaces are uncountable. If the average growth rate of assets is less than the reciprocal of the discount rate and if a weak regularity condition is satisfied an optimal stationary policy is shown to exist. Also the optimal return function satisfies the functional equation of dynamic programming and inherits several properties of the one period utility function.

Keywords: finance: investment; utility theory; dynamic programming (search for similar items in EconPapers)
Date: 1979
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.25.10.1005 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:25:y:1979:i:10:p:1005-1013

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().