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A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market
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Christina Ziehaus
Published/Copyright:
August 31, 2012
Abstract
We consider the problem of maximizing the utility of consumption and terminal wealth in a geometric Ornstein–Uhlenbeck market. We calculate the optimal consumption and wealth processes for power, logarithmic and exponential utility as well as their behavior depending e.g. on subjective discounting or the time horizon. We also use a specific example to show the identity of the solutions calculated by the primal and the dual method.
Keywords: functional data; local linear estimator; nonparametric regression; small balls probability; spatial data
Published Online: 2012-08-31
Published in Print: 2012-08
© by Oldenbourg Wissenschaftsverlag, München, Germany
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Articles in the same Issue
- On the functional local linear estimate for spatial regression
- Adaptive estimation for an inverse regression model with unknown operator
- Dependence properties of dynamic credit risk models
- A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market
Keywords for this article
functional data;
local linear estimator;
nonparametric regression;
small balls probability;
spatial data
Articles in the same Issue
- On the functional local linear estimate for spatial regression
- Adaptive estimation for an inverse regression model with unknown operator
- Dependence properties of dynamic credit risk models
- A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market
