From Kelly Criterion to Investment-Consumption Problem
نویسنده
چکیده
This paper is intended as a literature retrieval. In the first part we introduce Kelly criterion and show some of its basic properties. Then we define general HARA (Hyperbolic Absolute Risk Aversion) utility function and investment consumption problem. By stochastic optimal control we demonstrate solution to this problem for special class of HARA utility and show basic model with proportional transaction costs.
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