Optimal long term growth rate of expected utility of wealth

• 成果类型: Article
• 署名作者: Fleming, WH; Sheu, SJ
• 署名单位: Brown University; Academia Sinica - Taiwan
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1999
• 页码: 871-903
• 关键词: RISK-SENSITIVE CONTROL

摘要

An optimal investment policy model for the long term growth of expected utility of wealth is considered. The utility function is HARA with exponent -infinity < gamma < 1. The problem can be reformulated as an infinite time horizon, risk sensitive control problem. Then the dynamic programming equations for different HARA exponents and different policy constraints are studied. We obtain some estimates for the solution of each equation. This can be used to derive an optimal policy with some interesting properties.