General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets - Applied Mathematics

AM > Vol.2 No.4, April 2011

Applied Mathematics

Volume 2, Issue 4 (April 2011)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.58 Citations

General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets ()

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DOI: 10.4236/am.2011.24054 4,280 Downloads 8,342 Views Citations

Author(s)

Moawia Alghalith

Affiliation(s)

ABSTRACT

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.

KEYWORDS

Stochastic, Incomplete Markets, Investment

Share and Cite:

M. Alghalith, "General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets," Applied Mathematics, Vol. 2 No. 4, 2011, pp. 433-435. doi: 10.4236/am.2011.24054.

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