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- W2350427025 abstract "This paper considers an investment and consumption model for an investor.The investor trades his wealth continuously between a riskless bond and a risk stock.Short selling and borrowing at rate exceeding the risk-free rate on the bond are allowed.The investor's objective is to maximize the total expected discounted utility of consumption over an infinite time interval.We obtain the optimal trading policy in terms of the optimal control approach." @default.
- W2350427025 created "2016-06-24" @default.
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- W2350427025 date "2003-01-01" @default.
- W2350427025 modified "2023-09-27" @default.
- W2350427025 title "Optimal Investment-consumption Model with Borrowing and Short-selling" @default.
- W2350427025 hasPublicationYear "2003" @default.
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