Legendre Transform-Dual Solution for a Class of Investment and Consumption Problems with HARA Utility
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-28
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
This paper provides a Legendre transform method to deal with a class of investment and consumption problems, whose objective function is to maximize the expected discount utility of intermediate consumption and terminal wealth in the finite horizon.
Assume that risk preference of the investor is described by hyperbolic absolute risk aversion (HARA) utility function, which includes power utility, exponential utility, and logarithm utility as special cases.
The optimal investment and consumption strategy for HARA utility is explicitly obtained by applying dynamic programming principle and Legendre transform technique.
Some special cases are also discussed.
American Psychological Association (APA)
Chang, Hao& Rong, Xi-min. 2014. Legendre Transform-Dual Solution for a Class of Investment and Consumption Problems with HARA Utility. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-488727
Modern Language Association (MLA)
Chang, Hao& Rong, Xi-min. Legendre Transform-Dual Solution for a Class of Investment and Consumption Problems with HARA Utility. Mathematical Problems in Engineering No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-488727
American Medical Association (AMA)
Chang, Hao& Rong, Xi-min. Legendre Transform-Dual Solution for a Class of Investment and Consumption Problems with HARA Utility. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-488727
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-488727