Adaptive control of three continuous time portfolio and consumption models
type: Item
instance of: scholarly article
title: Adaptive control of three continuous time portfolio and consumption models
zbMATH Open document ID: 0642.90013
DOI: 10.1007/BF00940844
published in: Journal of Optimization Theory and Applications
publication date: 1989-01-01T00:00:00Z
review text: An economic application of adaptive control is presented using three continuous time portfolio and consumption models that are natural generalizations of a model of Merton. In these models of the wealth of an individual investor, it is assumed that the various parameters are deterministic functions of time or stochastic processes. An adaptive control problem arises for each of these models when it is assumed that the average return rate of the risky asset, which is either a deterministic function or a stochastic process, is not observed. For these models, a recursive family of estimators of the average return rate of the risky asset are given based on the observations of the wealth. These estimates are used in the control of the wealth equation.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 4047381
zbMATH Keywords: recursive parameter estimators
zbMATH Keywords: economic application of adaptive control
zbMATH Keywords: continuous time portfolio and consumption models
zbMATH Keywords: average return rate of the risky asset
zbMATH Keywords: wealth equation
author: T. E. Duncan
author: B. Pasik-Duncan
MaRDI profile type: Publication
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Adaptive control of a continuous time portfolio and consumption model
cites work: Q4086303
full work available at URL: https://doi.org/10.1007/bf00940844
OpenAlex ID: W4235863219
description: scientific article; zbMATH DE number 4047381