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- W2891746020 abstract "We consider the Merton consumption problem on a finite time horizon to optimize the discounted expected power utility of consumption and terminal wealth in risk-averse cases. The returns and volatilities of the assets are random and affected by some economic factors, modeled as a diffusion process. The problem becomes a standard stochastic control problem. We derive the Hamilton--Jacobi--Bellman (HJB) equation and study its solutions. Under general conditions we construct a suitable subsolution--supersolution pair. We prove the existence and uniqueness of solution for this HJB equation. Finally, we show the verification theorem." @default.
- W2891746020 created "2018-09-27" @default.
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- W2891746020 date "2018-01-01" @default.
- W2891746020 modified "2023-10-17" @default.
- W2891746020 title "An Optimal Consumption Problem for General Factor Models" @default.
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- W2891746020 doi "https://doi.org/10.1137/17m1135864" @default.
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