BFS 2002 |
|
Poster Presentation |
Shuenn-Jyi Sheu, Hidehiro Kaise
We consider an investment model proposed by
Bielecki and Pliska. The prices of securities we
can invest in the market are affected by some
economic factors which evolve as a diffusion
process. The goal is to maximize the expected
utility in infinite time horizon. We assume that
the utility function is HARA, then we can use
dynamical programming approach to derive the
Bellman equation which is a nonlinear partial
equation. It is important to study this equation,
since for each solution there associates a
candidate of optimal investment policy. We study
the structure of the solutions of this equation.
We can obtain a special solution which is
relevant to the investment problem. Our approach
is different from the conventional one that we
do not need to introduce function spaces in the
argument.
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