Optimal Consumption and Portfolio Choice with Stopping

Shigeaki Koike, Hiroaki Morimoto

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We study the Bellman equation associated with the optimal consumption and portfolio choice problem with stopping times in a complete market. We establish the existence of a strong solution by using the viscosity solutions technique. The optimal policy is shown to exist from the optimality conditions in the variational inequality.

Original languageEnglish
Pages (from-to)183-202
Number of pages20
JournalFunkcialaj Ekvacioj
Volume48
Issue number2
DOIs
Publication statusPublished - 2005 Jan 1
Externally publishedYes

Keywords

  • Combined control
  • Consumption
  • Portfolio
  • Stopping time
  • Variational inequality
  • Viscosity solution

ASJC Scopus subject areas

  • Analysis
  • Algebra and Number Theory
  • Geometry and Topology

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