Optimal Portfolios with Fixed Consumption or Income Streams
- We consider some portfolio optimisation problems where either the investor has a desire for an a priori specified consumption stream or/and follows a deterministic pay in scheme while also trying to maximize expected utility from final wealth. We derive explicit closed form solutions for continuous and discrete monetary streams. The mathematical method used is classical stochastic control theory.
Download full text files
Additional Services
| Author: | R. Korn, M. Krekel |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-12943 |
| Series (Serial Number): | Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (31) |
| Document Type: | Report |
| Language of publication: | English |
| Year of Completion: | 2002 |
| Year of first Publication: | 2002 |
| Publishing Institution: | Fraunhofer-Institut für Techno- und Wirtschaftsmathematik |
| Date of the Publication (Server): | 2004/02/02 |
| Tag: | HJB equation; Portfolio optimisation; discretisation of control problems; stochastic control |
| Faculties / Organisational entities: | Fraunhofer (ITWM) |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |