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Optimal Investment Models With Minimum Consumption Criteria

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  • WENDELL H. FLEMING
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    Abstract

    This paper considers a max-min formulation of multistage optimal investment and consumption problems, with uncertainties in the form of variable productivities of capital and interest rates. The criterion of control performance is minimum consumption over time, weighted by a coefficient which indicates the likelihood of possible disturbance sequences. A dynamic programming method is used. Explicit results for a max-min formulation of the Merton portfolio optimisation problem are obtained. A production-consumption-debt model arising in international finance is also considered. Copyright Blackwell Publishing Ltd/University of Adelaide and Flinders University 2005..

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Australian Economic Papers.

    Volume (Year): 44 (2005)
    Issue (Month): 4 (December)
    Pages: 307-321

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    Handle: RePEc:bla:ausecp:v:44:y:2005:i:4:p:307-321

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X

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    Cited by:
    1. Stein, Jerome L., 2011. "The crisis, Fed, Quants and stochastic optimal control," Economic Modelling, Elsevier, vol. 28(1), pages 272-280.
    2. Stein, Jerome L., 2007. "United States current account deficits: A stochastic optimal control analysis," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1321-1350, May.

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