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

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  • Moawia, Alghalith

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.

Suggested Citation

  • Moawia, Alghalith, 2009. "A new approach to stochastic optimization: the investment-consumption model," MPRA Paper 19315, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:19315
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    File URL: https://mpra.ub.uni-muenchen.de/19315/1/MPRA_paper_19315.pdf
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    References listed on IDEAS

    as
    1. Alghalith, Moawia, 2008. "Recent applications of theory of the firm under uncertainty," European Journal of Operational Research, Elsevier, vol. 186(2), pages 443-450, April.
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    More about this item

    Keywords

    portfolio; investment; stochastic optimization;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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