An Optimal Consumption-Investment Problem on a Finite Horizon

被引：0

作者：

Ren, Dan ^{[1
]}

机构：

[1] Univ Dayton, Dept Math, Dayton, OH 45469 USA

来源：

2019 PROCEEDINGS OF THE CONFERENCE ON CONTROL AND ITS APPLICATIONS, CT | 2019年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper solves an optimal consumption-investment problem for an investor with shortfall aversion and risk aversion on a finite horizon. Optimally, the investor should adjust his spending rate and portfolio policy based on the ratio of the wealth and the historical maximal consumption (denoted as h in the paper) at the moment. The paper also analyzes the optimal results quantitatively, and discusses the impact of some parameters.

引用

页码：52 / 59

页数：8

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