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...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.展开更多
We provide a new simple approach to stochastic dynamic optimization. In doing so, we derive the existing (standard) results using a far simpler technique than the duality and the variational methods.
In this paper, we relax the assumption of a self-financing strategy in the dynamic investment models. In so doing we provide smooth solutions and constrained viscosity solutions.
In contrast to the Euler method and the subsequent methods, we provide solutions to nonlinear ordinary differential equations. Consequently, our method does not require convergence. We apply our method to a second-ord...In contrast to the Euler method and the subsequent methods, we provide solutions to nonlinear ordinary differential equations. Consequently, our method does not require convergence. We apply our method to a second-order nonlinear ordinary differential equation ODE. However, the method is applicable to higher order ODEs.展开更多
We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addit...We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.展开更多
文摘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.
文摘We provide a new simple approach to stochastic dynamic optimization. In doing so, we derive the existing (standard) results using a far simpler technique than the duality and the variational methods.
文摘In this paper, we relax the assumption of a self-financing strategy in the dynamic investment models. In so doing we provide smooth solutions and constrained viscosity solutions.
文摘In contrast to the Euler method and the subsequent methods, we provide solutions to nonlinear ordinary differential equations. Consequently, our method does not require convergence. We apply our method to a second-order nonlinear ordinary differential equation ODE. However, the method is applicable to higher order ODEs.
文摘We present a methodology that allows endogenous derivation of the moments of the probability distributions. In doing so, we, present an alternative objective function and alternative concept of risk aversion. In addition, we show that the risk measure depends on the preferences. Moreover, we show that a higher level of risk aversion yields higher values of the risk measure.
