Download or read book Worst case Optimal Investment and Consumption written by Tina Engler and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Worst-case optimization; stochastic interest rate; optimal investment and consumption; stochastic optimal control; HARA utility

Download or read book Optimal Investment consumption Models with Constraints written by Thaleia Zariphopoulou-Souganidis and published by . This book was released on 1989 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Investment and Consumption Under a Habit Formation Constraint written by Bahman Angoshtari and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Investment consumption Models with Constraints written by Thaleia Zariphopoulou and published by . This book was released on 1989 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Investment and Consumption with Transaction Costs written by Steven E. Shreve and published by . This book was released on 1992 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "A complete solution is provided to the infinite-horizon, discounted problem of optimal consumption and investment in a market with one stock, one money market (sometimes called a 'bond'), and proportional transaction costs. The utility function may be of the form c[superscript p]/p where p

Download or read book The Oxford Handbook of the Economics of Food Consumption and Policy written by Jayson L. Lusk and published by Oxford Handbooks. This book was released on 2013-08-15 with total page 923 pages. Available in PDF, EPUB and Kindle. Book excerpt: First reference on food consumption and policy.

Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

Download or read book Numerical Methods in Finance written by Michèle Breton and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.

Download or read book Optimal Investment Consumption and Retirement Choice Problem with Disutility and Subsistence Consumption Constraints written by Byung Hwa Lim and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we consider a general optimal consumption-portfolio selection problem of an infinitely-lived agent whose consumption rate process is subject to subsistence constraints before retirement. That is, her consumption rate should be greater than or equal to some positive constant before retirement. We integrate three optimal decisions which are the optimal consumption, the optimal investment choice and the optimal stopping problem in which the agent chooses her retirement time in one model. We obtain the explicit forms of optimal policies using a martingale method and a variational inequality arising from the dual function of the optimal stopping problem. We treat the optimal retirement time as the first hitting time when her wealth exceeds a certain wealth level which will be determined by a free boundary value problem and duality approaches. We also derive closed forms of the optimal wealth processes before and after retirement. Some numerical examples are presented for the case of constant relative risk aversion (CRRA) utility class.

Download or read book Optimal Investment and Consumption Strategies for a Class of Utility Functions written by Niles Hemming Hakansson and published by . This book was released on 1966 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: The research formalizes Irving Fisher's model of the individual under risk, and represents at the same time a generalization of Phelphs' model of personal saving (Econometrica, October 1962). The objective of the individual is postulated to be the maximization of expected utility from consumption over time where the horizon is arbitrarily distant. The individual's resources consist of an initial capital position (which may be negative) and a non-capital income stream which is known with certainty but which may possess any time-shape. The individual faces both financial opportunities (borrowing and lending) and an arbitrary number of productive investment opportunities. The interest rate is presumed to be known and invariant over time; the case when the borrowing rate exceeds the lending rate is examined for a specialized model. The returns from the productive opportunities are assumed to be random variables, whose probability distributions may differ from period to period. The basic (Fisherian) characteristic of the approach taken is that the portfolio composition decision, the financing decision, and the consumption decision are all analyzed simultaneously in one model. The vehicle of analysis is discrete-time dynamic programming.

Download or read book Optimal Investment and Consumption When Allowing Terminal Debt written by An Chen and published by . This book was released on 2013 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze an optimal consumption and investment problem for a representative agent who may have different preferences for consumption and for terminal wealth. The utility for consumption is characterized by constant relative risk aversion so consumption is always positive. In contrast, the agent's risk aversion with regard to final wealth does not necessarily imply he must end up with positive terminal wealth. Indeed, we define the risk aversion for both positive and negative wealth levels and require it to be positive but not monotone. There is a point of maximal risk aversion at zero wealth and the agent may continue to consume when his wealth is negative.Using dual methods we can derive explicit solutions for this problem in a multi-asset economy which takes survival probabilities of the agent into account. This allows us to study the optimal patterns for consumption and investment and compare them to the case where terminal debt is not allowed.

Download or read book Advanced Financial Modelling written by Hansjörg Albrecher and published by Walter de Gruyter. This book was released on 2009 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria

Download or read book Innovations in Quantitative Risk Management written by Kathrin Glau and published by Springer. This book was released on 2015-01-09 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.

Download or read book Financial Decision Aid Using Multiple Criteria written by Hatem Masri and published by Springer. This book was released on 2018-01-17 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Download or read book Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices written by Alain Bensoussan and published by . This book was released on 2009 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the basket price and (ii) when he receives only noisy observations on the basket price. We derive the optimal policies and show that a modified Mutual Fund Theorem consisting of three funds holds in both cases. The compositions of the funds in the two cases are the same, but in general the investor's allocations of his wealth into these funds will differ. However, in the particular case when the investor has CRRA utility, his optimal investment allocations into these funds are also the same in both cases.

Download or read book Optimal Investment Consumption and Retirement Decision with Disutility and Borrowing Constraints written by Byung Hwa Lim and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we consider a general consumption, portfolio and retirement optimization problem in which a working investor has borrowing constraints. Closed-form solutions are obtained for the utility maximization problems, and numerical procedures are given for the general utility function under borrowing constraints. Moreover we apply the results to the special utility function, the constant elative risk aversion (CRRA) utility function, and its numerical results suggest that the restriction to borrow future labor income makes the investor retire in a lower critical wealth level than in the case of no borrowing constraints.

Download or read book A Shadow price Approach of the Problem of Optimal Investment consumption with Proportional Transaction Costs and Utilities of Power Type written by Jin Hyuk Choi and published by . This book was released on 2012 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Making use of the completeness of the model without transaction costs, we reformulate and reduce the Hamilton-Jacobi-Bellman equation for this singular stochastic control problem to a non-standard free-boundary problem for a first-order ODE with an integral constraint. Having shown that the free boundary problem has a smooth solution, we use it to construct the solution of the original optimal investment/consumption problem in a self-contained manner and without any recourse to the dynamic programming principle. By analyzing the properties of the free boundary problem, we provide an explicit characterization of model parameters for which the value function is finite. Furthermore, we prove that the value function, as well as the slopes of the lines demarcating the no-trading region, can be expanded as a series of integer powers of [lambda superscript 1/3]. The coefficients of arbitrary order in this expansion can be computed.