IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/19315.html
   My bibliography  Save this paper

A new approach to stochastic optimization: the investment-consumption model

Author

Listed:
  • Moawia, Alghalith

Abstract

We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.

Suggested Citation

  • Moawia, Alghalith, 2009. "A new approach to stochastic optimization: the investment-consumption model," MPRA Paper 19315, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:19315
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/19315/1/MPRA_paper_19315.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Alghalith, Moawia, 2008. "Recent applications of theory of the firm under uncertainty," European Journal of Operational Research, Elsevier, vol. 186(2), pages 443-450, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. F. Tao & Y. Cheng & L. Zhang & A. Y. C. Nee, 2017. "Advanced manufacturing systems: socialization characteristics and trends," Journal of Intelligent Manufacturing, Springer, vol. 28(5), pages 1079-1094, June.
    2. Moawia Alghalith, 2012. "New methods of estimating volatility and returns," Journal of Asset Management, Palgrave Macmillan, vol. 13(1), pages 1-4, February.
    3. Alghalith, Moawia, 2010. "New methods of estimating stochastic volatility and the stock return," MPRA Paper 20303, University Library of Munich, Germany.
    4. Algalith Moawia, 2013. "A Very Simple Solution to Non-linear Partial Differential Equations," Mathematical Economics Letters, De Gruyter, vol. 1(1), pages 1-2, October.
    5. Asano, Takao & Osaki, Yusuke, 2021. "Optimal investment under ambiguous technology shocks," European Journal of Operational Research, Elsevier, vol. 293(1), pages 304-311.
    6. Alghalith Moawia, 2014. "Taylor's series for non-differentiable functions," Mathematical Economics Letters, De Gruyter, vol. 1(2-4), pages 1-3, July.
    7. Michael I.C. Nwogugu, 2019. "Complex Systems, Multi-Sided Incentives and Risk Perception in Companies," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-44704-3.
    8. Moawia Alghalith, 2016. "A note on transforming a weak solution to PDE to a smooth solution," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-4, September.
    9. Alghalith, Moawia, 2017. "A new parametric method of estimating the joint probability density," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 799-803.
    10. Elie Appelbaum & Aman Ullah, 1997. "Estimation Of Moments And Production Decisions Under Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 631-637, November.
    11. Alghalith, Moawia, 2013. "The interaction among production, hedging and investment decisions," Economic Modelling, Elsevier, vol. 30(C), pages 193-195.
    12. Alghalith, Moawia, 2016. "Novel and simple non-parametric methods of estimating the joint and marginal densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 94-98.

    More about this item

    Keywords

    portfolio; investment; stochastic optimization;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:19315. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.