【摘 要】
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An agent maximizes isoelastic utility from consumption with infinite horizon in an incomplete market,in which state variables are driven by diffusions.We pr
【机 构】
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Univ.of Michigan at Ann Arbor
论文部分内容阅读
An agent maximizes isoelastic utility from consumption with infinite horizon in an incomplete market,in which state variables are driven by diffusions.We provide(ⅰ)a general verification theorem,which links the solution of the HJB equation to the optimal consumption and investment policies;(ⅱ)approximate policies in closed form,which admit an upper bound of utility loss,and become optimal if the market is complete,or utility is logarithmic.
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