2004•2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601)Requires access
On the optimal balance between consumption and investment
Wendell H. Fleming, Daniel Hernández–Hernández
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Abstract
In this paper we are concerned with the tradeoff between long term growth of the expected utility of wealth and consumption. The goal is to find a consumption policy for which the optimal rate of capital growth is zero, i.e. a policy for which balance between consumption and investment is reached.