Download This PaperGeneral Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets
8 Pages Posted: 5 Dec 2009
Date Written: December 4, 2009
Abstract
In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.
Keywords: Portfolio, Investment, Stochastic, Incomplete Markets
JEL Classification: G11
Suggested Citation: Suggested Citation
Alghalith, Moawia, General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets (December 4, 2009). Available at SSRN: https://ssrn.com/abstract=1518461 or http://dx.doi.org/10.2139/ssrn.1518461
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