Optimal portfolio selection in stochastic environment
karan Thagunna
Broschiertes Buch

Optimal portfolio selection in stochastic environment

Three Assets Model for portfolio selection under a constrained consumption rate process

Versandkostenfrei!
Versandfertig in 6-10 Tagen
32,99 €
inkl. MwSt.
PAYBACK Punkte
16 °P sammeln!
In this dissertation, we consider a particular case of an optimal consumption and portfolio selection problem for an innitely lived investor whose consumption rate process is subject to downside constraint. We also suppose that the wealth dynamics is composed of three assets (i) riskless assets (ii) risky assets (iii) hedge assets. We consider the investor's wealth process, interpreted in the sense of the It^o integral.Our work aims to find the optimal policies which maximize the expected discount utility function.Furthermore, we obtain the optimal policies in an explicit form for the log util...