GENERAL CLOSED-FORM SOLUTIONS TO THE DYNAMIC OPTIMIZATION PROBLEM IN INCOMPLETE MARKETS

Moawia Alghalith ()
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Moawia Alghalith: Department of Economics, University of the West Indies-St. Augustine

No 0, Economics Research Papers from Department of Economics, University of the West Indies-St. Augustine

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; investment; consumption; dynamic; stochastic (search for similar items in EconPapers)
JEL-codes: D80 G11 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2009-11-20
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Persistent link: https://EconPapers.repec.org/RePEc:ris:uwierp:0000_000

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