Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
Journal article
Castellano, R and Cerqueti, R (2012). Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach. Applied Mathematics and Computation. 218 (12), pp. 6887-6898. https://doi.org/10.1016/j.amc.2011.12.065
Authors | Castellano, R and Cerqueti, R |
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Abstract | This paper addresses the optimal consumption/investment problem in a mixed discrete/continuous time model in presence of rarely traded stocks. Stochastic control theory with state variable driven by a jump-diffusion, via dynamic programming, is used. The theoretical study is validated through numerical experiments, and the proposed model is compared with the classical Merton’s portfolio. Some financial insights are provided. |
Keywords | Optimal consumption/ investment model; Monte Carlo simulations; Utility maximization; Thin stocks; Stochastic control theory; Dynamic programming; Jump-diffusion dynamics |
Year | 2012 |
Journal | Applied Mathematics and Computation |
Journal citation | 218 (12), pp. 6887-6898 |
Publisher | Elsevier BV |
ISSN | 0096-3003 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.amc.2011.12.065 |
Publication dates | |
Feb 2012 | |
Publication process dates | |
Accepted | 01 Jan 2012 |
Deposited | 06 Apr 2020 |
Accepted author manuscript | License File Access Level Open |
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https://openresearch.lsbu.ac.uk/item/896w4
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