Optimal Investment Models With Minimum Consumption Criteria
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..
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 44 (2005)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0004-900X|