화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.52, No.2, 219-235, 2005
The tradeoff between consumption and investment in incomplete financial markets
In this paper we are concerned with the tradeoff between long term growth of the expected utility of wealth and consumption. The goal is to find a consumption policy for which the optimal rate of capital growth is zero, i.e. a policy for which balance between consumption and investment is reached. The asymptotic limit of this investment problem when the HARA parameter gamma -> -infinity is also studied.