This paper addresses the optimal consumption/investment problem in a mixed discrete/continuous time model in presence of rarely traded stocks. Stochastic control theory with state variable driven by a jump-diffusion, via dynamic programming, is used. The theoretical study is validated through numerical experiments, and the proposed model is compared with the classical Merton’s portfolio. Some financial insights are provided.

Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach / Castellano, R.; Cerqueti, R.. - In: APPLIED MATHEMATICS AND COMPUTATION. - ISSN 0096-3003. - 218:(2012), pp. 6887-6898. [10.1016/j.amc.2011.12.065]

Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach

R. Cerqueti
2012

Abstract

This paper addresses the optimal consumption/investment problem in a mixed discrete/continuous time model in presence of rarely traded stocks. Stochastic control theory with state variable driven by a jump-diffusion, via dynamic programming, is used. The theoretical study is validated through numerical experiments, and the proposed model is compared with the classical Merton’s portfolio. Some financial insights are provided.
2012
Optimal consumption/investment model; Utility maximization; Thin stocks; Dynamic programming; Jump-diffusion dynamics
01 Pubblicazione su rivista::01a Articolo in rivista
Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach / Castellano, R.; Cerqueti, R.. - In: APPLIED MATHEMATICS AND COMPUTATION. - ISSN 0096-3003. - 218:(2012), pp. 6887-6898. [10.1016/j.amc.2011.12.065]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1364590
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