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.

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Year of publication:	2009-11-20
Authors:	Alghalith, Moawia
Institutions:	Department of Economics, University of the West Indies
Subject:	portfolio \| investment \| consumption \| dynamic \| stochastic

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Series:	Economics Research Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Economics Research Papers Number 00000 8 pages
Classification:	D80 - Information and Uncertainty. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008459964