General Utility Function With A Margin Optimal Investment And Consumption Problem

Posted on:2012-12-26

Degree:Master

Type:Thesis

Country:China

Candidate:D K Liu

Full Text:PDF

GTID:2219330335498471

Subject:Operational Research and Cybernetics

Abstract/Summary:

The optimal consumption and investment problem shows how to choose the trading strategies and comsumption plans to maximize one's utiliy of comsumption process and terminal wealth. This paper examines optimal consumption and investment choises in the presence of margin requirements for some kinds of utility functions. We also provide examples.

Keywords/Search Tags:

portfolio optimization, optimal consumption, general utility function, margin requirements

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