The utility problem analysed

1996 ◽  
pp. 392-399 ◽  
Author(s):  
Barry Smyth ◽  
Pádraig Cunningham
Keyword(s):  
Utility Problem

scholarly journals An Application of Dynamic Programming Principle in Corporate International Optimal Investment and Consumption Choice Problem

2010 ◽  
Vol 2010 ◽  
pp. 1-16 ◽  
Author(s):  
Zongyuan Huang ◽  
Zhen Wu
Keyword(s):  
Dynamic Programming ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Optimal Portfolio ◽  
Dynamic Programming Principle ◽  
Bank Account ◽  
Optimal Investment Strategy ◽  
Lower Interest Rate ◽  
Optimal Investment And Consumption ◽  
Utility Problem

This paper is concerned with a kind of corporate international optimal portfolio and consumption choice problems, in which the investor can invest her or his wealth either in a domestic bond (bank account) or in an oversea real project with production. The bank pays a lower interest rate for deposit and takes a higher rate for any loan. First, we show that Bellman's dynamic programming principle still holds in our setting; second, in terms of the foregoing principle, we obtain the investor's optimal portfolio proportion for a general maximizing expected utility problem and give the corresponding economic analysis; third, for the special but nontrivial Constant Relative Risk Aversion (CRRA) case, we get the investors optimal investment and consumption solution; last but not least, we give some numerical simulation results to illustrate the influence of volatility parameters on the optimal investment strategy.

scholarly journals On convergence to the exponential utility problem

2007 ◽  
Vol 117 (12) ◽  
pp. 1813-1834 ◽  
Author(s):  
Michael Kohlmann ◽  
Christina R. Niethammer
Keyword(s):  
Exponential Utility ◽  
Utility Problem
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