Optimal Investment-Consumption Strategy of Household Based on CEV Model
نویسندگان
چکیده
To maintain and increase household wealth, this study studies the optimal allocation ratio of investment consumption. When considering venture capital, it is assumed that theoretical price risky asset obeys CEV model. Our goal was to maximize expectation cumulative consumption discounted utility terminal wealth solve using dynamic programming principle HJB equation. Using logarithmic isoelastic power function with residual utility, we get analytical solution investment-consumption by means guessing variable transformation. Finally, influence general parameters on in market analyzed numerical simulation diagram, which consistent description actual situation. This not only enriches portfolio theory but also provides investors strategies.
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ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2022
ISSN: ['1607-887X', '1026-0226']
DOI: https://doi.org/10.1155/2022/4413862