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• W2182778488 abstract "A portfolio optimization problem on an infinite-time horizon is considered. Risky asset prices obey a logarithmic Brownian motion, and interest rates vary according to an ergodic Markov diusion process. The goal is to choose optimal investment and consumption policies to maximize the infinite-horizon expected discounted Hyperbolic Absolute Risk Aversion (HARA) utility of consumption. The problem is then reduced to a 1-dimensional stochastic control problem by virtue of the Girsanov transformation. A dynamic programming principle is used to derive the dynamic programming equation (DPE). The subsolutionsupersolution method is used to obtain existence of solutions of the DPE. The solutions are then used to derive the optimal investment and consumption policies. In addition, for a special case, the author obtains the results using the viscosity solution method." @default.
• W2182778488 created "2016-06-24" @default.
• W2182778488 creator A5043800543 @default.
• W2182778488 date "2003-01-01" @default.
• W2182778488 modified "2023-09-24" @default.
• W2182778488 title "Portfolio Optimization Models on Infinite-Time Horizon 1" @default.
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• W2182778488 hasPublicationYear "2003" @default.
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