Abstract/Details

Portfolio management toward optimal consumption and terminal wealth


2005 2005

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Abstract (summary)

The problem we will consider is that of a single investor who wishes to optimize his consumption and/or terminal wealth over a specified finite time horizon. This investor is endowed with an initial sum which he may invest in n + 1 assets, one of which is risk-free. In a 1971 paper, Merton, who was interested in continuous time models for CAPM (Capital Asset Pricing Model), gave a closed-form solution via the Bellman equations when constant coefficients are assumed. Then in 1986 and 1987, Karatzas, Lehoczky, Sethi and Shreve were able to demonstrate for general utility functions explicit solutions could be given for both the consumption process and wealth processes.

We will show that for a class of utility functions from the HARA family, which is of significant interest to investors, that explicit information regarding the nature of the portfolio process can be derived. Moreover, we will show that such solutions can be reached by applying martingale methods.

Indexing (details)


Subject
Mathematics;
Finance;
Wealth;
Consumption;
Portfolio management;
Studies
Classification
0405: Mathematics
0508: Finance
Identifier / keyword
Social sciences; Pure sciences; Optimal consumption; Portfolio management; Terminal wealth
Title
Portfolio management toward optimal consumption and terminal wealth
Author
Ellett, Andrew
Number of pages
51
Publication year
2005
Degree date
2005
School code
0093
Source
DAI-B 66/01, Dissertation Abstracts International
Place of publication
Ann Arbor
Country of publication
United States
ISBN
9780496960408, 0496960407
Advisor
Goodman, Victor
University/institution
Indiana University
University location
United States -- Indiana
Degree
Ph.D.
Source type
Dissertations & Theses
Language
English
Document type
Dissertation/Thesis
Dissertation/thesis number
3162278
ProQuest document ID
304986972
Copyright
Database copyright ProQuest LLC; ProQuest does not claim copyright in the individual underlying works.
Document URL
http://search.proquest.com/docview/304986972
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