| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4630111 | Applied Mathematics and Computation | 2012 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Rosella Castellano, Roy Cerqueti,