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

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DOI: 10.4236/am.2011.24054    3,701 Downloads   7,134 Views   Citations

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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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.

References

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