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Optimal Consumption (optimal + consumption)
Selected AbstractsOPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICESMATHEMATICAL FINANCE, Issue 2 2009Alain Bensoussan We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the basket price and (ii) when he receives only noisy observations on the basket price. We derive the optimal policies and show that a modified Mutual Fund Theorem consisting of three funds holds in both cases. The compositions of the funds in the two cases are the same, but in general the investor's allocations of his wealth into these funds will differ. However, in the particular case when the investor has constant relative risk-aversion (CRRA) utility, his optimal investment allocations into these funds are also the same in both cases. [source] Dynasties and Destiny: On the Roles of Altruism and Impatience in the Evolution of Consumption and BequestsECONOMICA, Issue 272 2001Ita Falk We study the joint role of altruism and impatience, and the impact of evolution in the formation of long,term time preferences and in the determination of optimal consumption and optimal bequests. We show how the consumption paths of dynasties relate to altruism and to impatience, and we reason that long,lived dynasties will be characterized by a higher degree of altruism and a lower degree of impatience than short,lived dynasties. [source] OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICESMATHEMATICAL FINANCE, Issue 2 2009Alain Bensoussan We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the basket price and (ii) when he receives only noisy observations on the basket price. We derive the optimal policies and show that a modified Mutual Fund Theorem consisting of three funds holds in both cases. The compositions of the funds in the two cases are the same, but in general the investor's allocations of his wealth into these funds will differ. However, in the particular case when the investor has constant relative risk-aversion (CRRA) utility, his optimal investment allocations into these funds are also the same in both cases. [source] A Martingale Characterization of Consumption Choices and Hedging Costs with Margin RequirementsMATHEMATICAL FINANCE, Issue 3 2000Domenico Cuoco This paper examines optimal consumption and investment choices and the cost of hedging contingent claims in the presence of margin requirements or, more generally, of nonlinear wealth dynamics and constraints on the portfolio policies. Existence of optimal policies is established using martingale and duality techniques under general assumptions on the securities' price process and the investor's preferences. As an illustration, explicit solutions are provided for an agent with ,logarithmic' utility. A PDE characterization of the cost of hedging a nonnegative path-independent European contingent claim is also provided. [source] | ||||||||||