Optimal consumption choices for a 'large' investor

Article Abstract:

Martingale and duality techniques were utilized to analyze optimal consumption and investment problem of an investor whose portfolio decisions influence the immediate expected returns on traded assets. The analysis involved consideration of optimal policies on the basis of assumptions involving security price coefficients and income process. Solutions were obtained for cases dealing with logarithmic utilities and two-factor version of the CCAPM.

Research, Economic aspects, Portfolio management

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The optimal consumption function in a Brownian model of accumulation Part A: The consumption function as solution of a boundary value problem

Article Abstract:

In this paper Brownian motions with drift replace a neo-classical model of optimal economic growth with population growth, technological progess, depreciation and impatience. It proves that a consumption function which solves the boundary value problems generates an optimal plan.

United Kingdom, Statistical Data Included, Analysis, Brownian motion

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