2004•Journal of Shandong UniversityRequires access

One kind of optimal control problem about the portfolio and consumption choice

Guangchen Wang

Abstract

One kind of optimal control problem about the portfolio and consumption choice is discussed when an investor has only two different investments. One is the stock, the other is the foreign exchange deposit.The explicit optimal portfolio and consumption choice is ob-tained for the utility function in the “hyperbolic absolute risk aversion(HARA)”case.

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Key concepts: Portfolio, Merton's portfolio problem, Consumption (sociology), Economics, Portfolio optimization, Optimal control, Risk aversion (psychology), Stock (firearms)