TY - RPRT
A1 - Korn, R.
A1 - Krekel, M.
T1 - Optimal Portfolios with Fixed Consumption or Income Streams
N2 - We consider some portfolio optimisation problems where either the investor has a desire for an a priori specified consumption stream or/and follows a deterministic pay in scheme while also trying to maximize expected utility from final wealth. We derive explicit closed form solutions for continuous and discrete monetary streams. The mathematical method used is classical stochastic control theory.
T3 - Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) - 31
KW - Portfolio optimisation
KW - stochastic control
KW - HJB equation
KW - discretisation of control problems
Y1 - 2002
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1484
UR - https://nbn-resolving.org/urn:nbn:de:hbz:386-kluedo-12943
ER -