Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity

被引：0

作者：

Shim, Gyoocheol ^{[1
]}

Koo, Hyeng Keun ^{[2
]}

机构：

[1] Ajou Univ, Dept Financial Engn, Suwon 443749, South Korea

[2] Ajou Univ, Dept Financial Engn, Suwon 443749, Gyeonggi Do, South Korea

来源：

ANNALS OF ECONOMICS AND FINANCE | 2015年 / 16卷 / 01期

基金：

新加坡国家研究基金会;

关键词：

Consumption; Investment; Investment opportunity set; Threshold wealth level; Bellman equation; PORTFOLIO SELECTION; IMPERFECT INFORMATION; UNCERTAINTY;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study an optimization problem of an investor in which there is a better investment opportunity when he is rich than when he is poor. We model the betterment of the investment opportunity by considering an exogenously specified wealth threshold such that the investor's investment opportunity is better when his wealth is above the threshold than when it is below the threshold. We derive a closed form solution for the optimal consumption and investment strategies by using a dynamic programming method, and investigate the effects of the potential investment opportunity changes on the optimal strategies.

引用

页码：19 / 42

页数：24

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