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:	2009-12-14
Authors:	Alghalith, Moawia

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Alghalith, Moawia (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/10015221142