Optimal Investment with Time-Varying Stochastic Endowments
نویسندگان
چکیده
This paper considers a utility maximization and optimal asset allocation problem in the presence of stochastic endowment that cannot be fully hedged through trading financial market. We rely on dynamic programming approach to solve optimization problem. The properties value function, particularly homogeneity, are used reduce HJB equation by one dimension. Furthermore, strategy is derived, its asymptotic behavior discussed.
منابع مشابه
Optimal investment with time-varying stochastic endowments
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. We rely on the dynamic programming approach to solve the optimization problem. The properties of the value function, particularly the homogeneity, are used to reduce the HJB equation by one dimension. Furt...
متن کاملOptimal Policies for Investment with Time-Varying Return Distributions
We develop a model in which investors must learn the distribution of asset returns over time. The process of learning is made more difficult by the fact that the distributions are not constant through time. We consider risk-neutral investors who have quadratic utility and are selecting between two risky assets. We determine the time at which it is optimal to update the distribution estimate and...
متن کاملOptimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity
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 clos...
متن کاملAn Optimal Controller for Time-Varying Stochastic Systems with Multiple Time Delays
Abstract: A flexible controller for optimal control of linear time-varying stochastic systems with multiple time delays is developed. The plants to be controlled are represented using a multi-input multi-output controlled autoregressive moving average model. The delays are described using a diagonal matrix. Input and output filters in the form of linear time-varying moving average operators are...
متن کاملRobust stability of stochastic fuzzy impulsive recurrent neural networks with\ time-varying delays
In this paper, global robust stability of stochastic impulsive recurrent neural networks with time-varyingdelays which are represented by the Takagi-Sugeno (T-S) fuzzy models is considered. A novel Linear Matrix Inequality (LMI)-based stability criterion is obtained by using Lyapunov functional theory to guarantee the asymptotic stability of uncertain fuzzy stochastic impulsive recurrent neural...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Siam Journal on Financial Mathematics
سال: 2022
ISSN: ['1945-497X']
DOI: https://doi.org/10.1137/21m1453402