Author(s)

Moawia Alghalith

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In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.

Stochastic, Incomplete Markets, Investment

M. Alghalith, "General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets," Applied Mathematics, Vol. 2 No. 4, 2011, pp. 433-435. doi: 10.4236/am.2011.24054.