TITLE:
General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets
AUTHORS:
Moawia Alghalith
KEYWORDS:
Stochastic, Incomplete Markets, Investment
JOURNAL NAME:
Applied Mathematics,
Vol.2 No.4,
March
31,
2011
ABSTRACT: In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.