BFS 2002

Poster Presentation




A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Portfolio Decisions

Gyoocheol Shim, Hyeng Keun Koo, Sung Sub Choi, Thaleia Zariphopoulou


We study an optimal consumption and investment problem in which there is a critical wealth level so that from the first time the wealth process reaches it, the invesment opportunity gets better. Under appropriate regularity conditions, we derive the value function and optimal rules of consumption and investment for CRRA class utility functions and observe economic meaning of them when the investor start with wealth level less than the critical level.