OPTIMAL CONSUMPTION AND PORTFOLIO RULES

ISBN: 9781332273263 Géneros: Sinópsis: Excerpt from Optimal Consumption and Portfolio Rules With Local SubstitutionNow consider an agent with a timeadditive utility function for consumption uct and an initial wealth W0 0 Assume throughout that uct is continuous in concave and increasing in c and is possibly unbounded from below at c 0 This agent wants to manage a portfolio of the risky securities and the bond and withdraw funds out of the portfolio to maximize his expected utility of consumption over time Our task here is to find conditions on the utility function and on the price processes to guarantee the existence of a solution to the agents problemAbout the PublisherForgotten Books publishes hundreds of thousands of rare and classic books Find more at wwwforgottenbookscomThis book is a reproduction of an important historical work Forgotten Books uses stateoftheart technology to digitally reconstruct the work preserving the original format whilst repairing imperfections present in the aged copy In rare cases an imperfection in the original such as a blemish or missing page may be replicated in our edition We do however repair the vast majority of imperfections successfully any imperfections that remain are intentionally left to preserve the state of such historical works