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The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Sahar Albosaily

    (UMR 6085 CNRS - Université de Rouen, Laboratoire de Mathématiques Raphael Salem
    University of Hail)

  • Serguei Pergamenshchikov

    (UMR 6085 CNRS - Université de Rouen, Laboratoire de Mathématiques Raphael Salem
    International Laboratory of Statistics of Stochastic Processes and Quantitative Finance of National Research Tomsk State University)

Abstract

We consider a spread financial market. We construct the optimal consumption/investment strategy for the power utility function. We study the Hamilton–Jacobi–Bellman (HJB) equation by the Feynman–Kac (FK) representation. We study the numeric approximation and we establish the convergence rate.

Suggested Citation

  • Sahar Albosaily & Serguei Pergamenshchikov, 2018. "The Optimal Investment and Consumption for Financial Markets Generated by the Spread of Risky Assets for the Power Utility," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 33-37, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_6
    DOI: 10.1007/978-3-319-89824-7_6
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