General closed-form solutions to the dynamic optimization problem in incomplete markets

Alghalith Moawia

MPRA Paper from University Library of Munich, Germany

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.

Keywords: portfolio; incomplete markets; stochastic; dynamic; investment; consumption (search for similar items in EconPapers)
JEL-codes: D21 G11 (search for similar items in EconPapers)
Date: 2009-12-14
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https://mpra.ub.uni-muenchen.de/19313/1/MPRA_paper_19313.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/21950/1/MPRA_paper_21950.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19313

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