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Decomposition of Consumption-Investment Problems in Discrete Marketsдоклад на конференции
- Автор: Soloviev A.I.
- Международная Конференция : The 10th Conference on Web and Internet Economics WINE 2014 (Dec. 14-17, 2014, Beijing, China)
- Даты проведения конференции: 14-17 декабря 2014
- Дата доклада: 16 декабря 2014
- Тип доклада: Стендовый
- Докладчик: Soloviev A.I.
- Место проведения: Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China
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Аннотация доклада:
We consider a multi-period discrete model of incomplete market evolving as a non-recombining scenario tree. The investor maximizes the expected utility of consumption of his wealth on a finite time period. Besides, he has an opportunity of trading on the stock market. This study presents decomposition schemes for solving consumption-investment problems with power and logarithm utility functions. We introduce dynamic programming algorithms that allow to reduce the main problem to the set of one-period problems.
- Добавил в систему: Соловьев Алексей Игоревич