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• W2022202267 endingPage "887" @default.
• W2022202267 startingPage "869" @default.
• W2022202267 abstract "A portfolio optimization problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to an ergodic Markov diffusion process. Moreover, the interest rate fluctuation is correlated with the risky asset price fluctuation. The goal is to choose optimal investment and consumption policies to maximize the infinite horizon expected discounted log utility of consumption. A dynamic programming principle is used to derive the dynamic programming equation (DPE). The explicit solutions for optimal consumption and investment control policies are obtained. In addition, for a special case, an explicit formula for the value function is given." @default.
• W2022202267 created "2016-06-24" @default.
• W2022202267 creator A5025931310 @default.
• W2022202267 date "2006-09-01" @default.
• W2022202267 modified "2023-09-25" @default.
• W2022202267 title "STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY" @default.
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• W2022202267 doi "https://doi.org/10.1142/s0219024906003858" @default.
• W2022202267 hasPublicationYear "2006" @default.
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