Optimal Consumption and Investment for Exponential Utility Function

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Mathematical Sciences and Applications E-Notes
Volume:5 Issue:1
Optimal Consumption and Investment for Exponential Utility Function

Optimal Consumption and Investment for Exponential Utility Function

Authors : Faiza LİMAM_BELARBİ, Fatima Zohra TAHRAOUİ

Pages : 19-26

Doi:10.36753/mathenot.421478

View : 30 | Download : 8

Publication Date : 2017-04-30

Article Type : Research Paper

Abstract :We investigate an optimal consumption and investment problem for Black-Scholes type financial market on the whole investment interval [0, T]. We formulate various utility maximization problem, which can be solved explicitly. The method of solution uses the convex dual function insert ignore into journalissuearticles values(Legendre transform); of the utility function. Related to this concept, we introduce and study the convex dual of the value function for our problem.
Keywords : Portfolio optimization, consumption, exponential utility Convex duality

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