A new approach to stochastic optimization: the investment-consumption model

Alghalith Moawia

MPRA Paper from University Library of Munich, Germany

Abstract: We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.

Keywords: portfolio; investment; stochastic optimization (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2009-12-14
New Economics Papers: this item is included in nep-mic
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19315

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