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A Consumption and Investment Problem via a Markov Decision Processes Approach with Random Horizon

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  • Octavio Paredes Pérez
  • Víctor Hugo Vázquez Guevara
  • Hugo Cruz-Suárez
  • Bikash Koli Dey

Abstract

This work is devoted to a consumption and investment problem, in which there is an investor with certain initial wealth with the possibility of deciding how much of such wealth will be consumed and how much will be invested in each of a series of successive times. The key issue is to find a wealth assignation rule in order to maximize the performance criteria; such dilemma will be achieved by the dynamic programming technique for the Markov decision processes with random horizon.

Suggested Citation

  • Octavio Paredes Pérez & Víctor Hugo Vázquez Guevara & Hugo Cruz-Suárez & Bikash Koli Dey, 2022. "A Consumption and Investment Problem via a Markov Decision Processes Approach with Random Horizon," Advances in Operations Research, Hindawi, vol. 2022, pages 1-13, June.
    • Handle: RePEc:hin:jnlaor:3184610
    DOI: 10.1155/2022/3184610
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