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First International Conference on Innovative Computing, Information and Control - Volume II (ICICIC'06)
Optimal Portfolio with Consumption Choice under Jump-Diffusion Process
Beijing, China
August 30-September 01
ISBN: 0-7695-2616-0
ASCII Text
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Shuping Wan, "Optimal Portfolio with Consumption Choice under Jump-Diffusion Process," Innovative Computing ,Information and Control, International Conference on, vol. 2, pp. 462-465, First International Conference on Innovative Computing, Information and Control - Volume II (ICICIC'06), 2006.
 
 
BibTex
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@article{ 10.1109/ICICIC.2006.325,
author = {Shuping Wan},
title = {Optimal Portfolio with Consumption Choice under Jump-Diffusion Process},
journal ={Innovative Computing ,Information and Control, International Conference on},
volume = {2},
year = {2006},
isbn = {0-7695-2616-0},
pages = {462-465},
doi = {http://doi.ieeecomputersociety.org/10.1109/ICICIC.2006.325},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
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TY - CONF
JO - Innovative Computing ,Information and Control, International Conference on
TI - Optimal Portfolio with Consumption Choice under Jump-Diffusion Process
SN - 0-7695-2616-0
SP462
EP465
A1 - Shuping Wan,
PY - 2006
KW - null
VL - 2
JA - Innovative Computing ,Information and Control, International Conference on
ER -
 
Shuping Wan, Jiangxi University of Finance and Economic, China
The optimal portfolio problem for a single riskless bond and risky stock modeled by jump-diffusion process has been established. The investment objective is maximizing the utility of his consumption and terminal wealth. The problem is formulated as a stochastic optimal control problem. The verification theorem and HJB equation for the optimal trading strategies are given by stochastic optimal control theory. The analytic solution for the constant relative risk aversion utility are obtained, and some simulation results are presented.
Citation:
Shuping Wan, "Optimal Portfolio with Consumption Choice under Jump-Diffusion Process," icicic, vol. 2, pp.462-465, First International Conference on Innovative Computing, Information and Control - Volume II (ICICIC'06), 2006
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