Optimal Portfolio of Corporate Investment and Consumption Problem under Market Closure: Inflation Case
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-06-03
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
We present the model of corporate optimal investment with consideration of the influence of inflation and the difference between the market opening and market closure.
In our model, the investor has three market activities of his or her choice: investment in project A, investment in project B, and consumption.
The optimal strategy for the investor is obtained using the Hamilton-Jacobi-Bellman equation which is derived using the dynamic programming principle.
Further along, a specific case, the Hyperbolic Absolute Risk Aversion case, is discussed in detail, where the explicit optimal strategy can be obtained using a very simple and direct method.
At the very end, we present some simulation results along with a brief analysis of the relationship between the optimal strategy and other factors.
American Psychological Association (APA)
Huang, Zongyuan& Zhang, Detao. 2013. Optimal Portfolio of Corporate Investment and Consumption Problem under Market Closure: Inflation Case. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1032111
Modern Language Association (MLA)
Huang, Zongyuan& Zhang, Detao. Optimal Portfolio of Corporate Investment and Consumption Problem under Market Closure: Inflation Case. Mathematical Problems in Engineering No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-1032111
American Medical Association (AMA)
Huang, Zongyuan& Zhang, Detao. Optimal Portfolio of Corporate Investment and Consumption Problem under Market Closure: Inflation Case. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1032111
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1032111