Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility
Keyword(s):
We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method. We show a special verification theorem for this case. We find the solution to the Hamilton–Jacobi–Bellman (HJB) equation in explicit form and as a consequence we construct optimal financial strategies. Moreover, we study the constructed strategies with numerical simulations.
1998 ◽
Vol 39
(4)
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pp. 449-462
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2014 ◽
Vol 17
(04)
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pp. 1450027
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Keyword(s):
2012 ◽
Vol 50
(4)
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pp. 2401-2430
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2016 ◽
Vol 2016
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pp. 1-17
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