کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4630111 1340593 2012 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
چکیده انگلیسی

This paper addresses the optimal consumption/investment problem in a mixed discrete/continuous time model in presence of rarely traded stocks. Stochastic control theory with state variable driven by a jump-diffusion, via dynamic programming, is used. The theoretical study is validated through numerical experiments, and the proposed model is compared with the classical Merton’s portfolio. Some financial insights are provided.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 218, Issue 12, 15 February 2012, Pages 6887–6898
نویسندگان
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