Three assets model for portfolio selection under a constrained consumption rate process

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dc.contributor Neggers, Joseph
dc.contributor Lee, Junsoo
dc.contributor Hadji, Layachi
dc.contributor Wang, Patrick P.
dc.contributor.advisor Wu, Zhijian Thagunna, Karan Singh
dc.contributor.other University of Alabama Tuscaloosa 2017-02-28T22:21:44Z 2017-02-28T22:21:44Z 2009
dc.identifier.other u0015_0000001_0000129
dc.identifier.other Thagunna_alatus_0004D_10211
dc.description Electronic Thesis or Dissertation en_US
dc.description.abstract [NOTE: Text or symbols not renderable in plain text are indicated by [...]. See PDF document for full abstract.] In this dissertation, we consider a particular case of an optimal consumption and portfolio selection problem for an infinitely lived investor whose consumption rate process is subject to downside constraint. We also suppose that the wealth dynamics is composed of three assets (i) risklessassets (ii) risky assets (iii) hedge assets. We consider the investor's wealth process, interpreted in the sense of the Itô integral as [...]. Our work aims to find the optimal policies which maximize the expected discount utility function given by [...]. Furthermore, we obtain the optimal policies in an explicit form for the log utility function which is a special case (γ → 1) of the general utility(CRRA) function, using the martingale method and applying the Legendre transform formula and the Feynman-kac formula. We derive some numerical results for the optimal policies and illustrated graphically. en_US
dc.format.extent 107 p.
dc.format.medium electronic
dc.format.mimetype application/pdf
dc.language English
dc.language.iso en_US
dc.publisher University of Alabama Libraries
dc.relation.ispartof The University of Alabama Electronic Theses and Dissertations
dc.relation.hasversion born digital
dc.rights All rights reserved by the author unless otherwise indicated. en_US
dc.subject Mathematics
dc.title Three assets model for portfolio selection under a constrained consumption rate process en_US
dc.type thesis
dc.type text University of Alabama. Department of Mathematics Mathematics The University of Alabama doctoral Ph.D.

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