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Upravlenie Bol'shimi Sistemami, 2015, Issue 53, Pages 45–57
(Mi ubs794)
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Control in Social and Economic Systems
Decomposition of consumption-investment problems in discrete markets
A. Soloviev Lomonosov Moscow State University
Abstract:
We consider a multi-period discrete model of an incomplete market evolving with respect to a non-recombining scenario tree. The investor maximizes expected utility of his or her consumption over a finite time horizon. Decomposition schemes are suggested for optimal consumption-investment problems with power-like and logarithmic utility functions. We introduce dynamic programming algorithms that reduce the original problem to the set of one-period problems.
Keywords:
arbitrage-free markets, incomplete markets, consumption problems,scenariotree,dynamicprogramming,convexprogramming.
Citation:
A. Soloviev, “Decomposition of consumption-investment problems in discrete markets”, UBS, 53 (2015), 45–57
Linking options:
https://www.mathnet.ru/eng/ubs794 https://www.mathnet.ru/eng/ubs/v53/p45
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Statistics & downloads: |
Abstract page: | 129 | Full-text PDF : | 54 | References: | 38 |
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