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An Application of Dynamic Programming Principle in Corporate International Optimal Investment and Consumption Choice Problem
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-01-18
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
This paper is concerned with a kind of corporate international optimal portfolio and consumption choice problems, in which the investor can invest her or his wealth either in a domestic bond (bank account) or in an oversea real project with production.
The bank pays a lower interest rate for deposit and takes a higher rate for any loan.
First, we show that Bellman's dynamic programming principle still holds in our setting; second, in terms of the foregoing principle, we obtain the investor's optimal portfolio proportion for a general maximizing expected utility problem and give the corresponding economic analysis; third, for the special but nontrivial Constant Relative Risk Aversion (CRRA) case, we get the investors optimal investment and consumption solution; last but not least, we give some numerical simulation results to illustrate the influence of volatility parameters on the optimal investment strategy.
American Psychological Association (APA)
Huang, Zongyuan& Wu, Zhen. 2011. An Application of Dynamic Programming Principle in Corporate International Optimal Investment and Consumption Choice Problem. Mathematical Problems in Engineering،Vol. 2010, no. 2010, pp.1-16.
https://search.emarefa.net/detail/BIM-474270
Modern Language Association (MLA)
Huang, Zongyuan& Wu, Zhen. An Application of Dynamic Programming Principle in Corporate International Optimal Investment and Consumption Choice Problem. Mathematical Problems in Engineering No. 2010 (2010), pp.1-16.
https://search.emarefa.net/detail/BIM-474270
American Medical Association (AMA)
Huang, Zongyuan& Wu, Zhen. An Application of Dynamic Programming Principle in Corporate International Optimal Investment and Consumption Choice Problem. Mathematical Problems in Engineering. 2011. Vol. 2010, no. 2010, pp.1-16.
https://search.emarefa.net/detail/BIM-474270
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-474270