General closed-form solutions to the dynamic optimization problem in incomplete markets

In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.

MoreLess

Year of publication:	2009-12-14
Authors:	Moawia, Alghalith

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Moawia, Alghalith (2009): General closed-form solutions to the dynamic optimization problem in incomplete markets.
Classification:	D21 - Firm Behavior ; G11 - Portfolio Choice
Source:	BASE

Persistent link: https://www.econbiz.de/10015219606