General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets ()
Abstract
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.
Share and Cite:
Alghalith, M. (2011) General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets.
Applied Mathematics,
2, 433-435. doi:
10.4236/am.2011.24054.
Conflicts of Interest
The authors declare no conflicts of interest.
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