An application of dynamic programming principle in corporate international optimal investment and consumption choice problem
type: Item
instance of: scholarly article
title: An application of dynamic programming principle in corporate international optimal investment and consumption choice problem
zbMATH Open document ID: 1205.91150
DOI: 10.1155/2010/472867
author: Zongyuan Huang
author: Zhen Wu
published in: Mathematical Problems in Engineering
publication date: 2011-02-09T00:00:00Z
full work available at URL: https://eudml.org/doc/226784
review text: Summary: 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.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 5849034
Wikidata QID: Q58653108
MaRDI profile type: Publication
OpenAlex ID: W1986233949
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description: scientific article; zbMATH DE number 5849034