An investment and consumption problem for quadratic utility function in an incomplete market

摘要：

This paper is concerned with an investment and consumption problem in an incomplete market and takes quadratic utility function for our analysis. We firstly transform an incomplete market into complete one and derive the optimal investment and consumption strategy in the completed market by applying dynamic programming and Hamilton-Jacobi-Bellman(HJB) equation. Finally, a closed-form solution in an incomplete market is obtained according to the parameters relationship between the completed market and the original incomplete one.

关键词： investment and consumption quadratic utility incomplete market dynamic programming HJB equation

作者: Hao CHANG Kai CHANG

作者单位: Department of Mathematics,Tianjin Polytechnic University, Tianjin 300160, China Shenzhen Graduate School,Harbin Institute of Technology, Shenzhen 518055, China

会议类型: 国际会议

会议名称: The 24th Chinese Control and Decision Conference (第24届中国控制与决策学术年会 2012 CCDC)

会议地点: 太原

会议语种:英文

页码: 2051-2054

在线出版日期: 2012-05-23（万方平台首次上网日期，不代表论文的发表时间）