An optimal investment policy model for the long term growth of
expected utility of wealth is considered. The utility function is HARA with
exponent $-\infty < \gamma < 1$. 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.
Publié le : 1999-08-14
Classification:
Long term growth rate,
Ornstein-Uhlenbeck process,
risk sensitive control,
dynamical programming equation,
optimal policy,
90A09,
93E20,
60H30,
90A19
@article{1029962817,
author = {Fleming, Wendell H. and Sheu, Shuenn-Jyi},
title = {Optimal long term growth rate of expected utility of
wealth},
journal = {Ann. Appl. Probab.},
volume = {9},
number = {1},
year = {1999},
pages = { 871-903},
language = {en},
url = {http://dml.mathdoc.fr/item/1029962817}
}
Fleming, Wendell H.; Sheu, Shuenn-Jyi. Optimal long term growth rate of expected utility of
wealth. Ann. Appl. Probab., Tome 9 (1999) no. 1, pp. 871-903. http://gdmltest.u-ga.fr/item/1029962817/