Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
type: Item
instance of: scholarly article
title: Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
zbMATH Open document ID: 1407.91216
DOI: 10.1155/2014/656438
author: Hao Chang
author: Ximin Rong
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7016964
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/656438
OpenAlex ID: W2074319162
Wikidata QID: Q59068701
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description: scientific article; zbMATH DE number 7016964