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CDC
2009
IEEE

An optimal investment problem with randomly terminating income

14 years 3 months ago
An optimal investment problem with randomly terminating income
Abstract— We investigate an optimal consumption and investment problem where we receive a certain fixed income stream that is terminated at a random time. It turns out that the optimal strategy and the value function for this problem differ considerably from the case where our income stream is certain to continue indefinitely. More specifically, the optimal consumption policy involves a function that is not analytic around the point that represents zero wealth.
Michel H. Vellekoop, Mark Davis
Added 21 Jul 2010
Updated 21 Jul 2010
Type Conference
Year 2009
Where CDC
Authors Michel H. Vellekoop, Mark Davis
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