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5

CDC
2009
IEEE

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An optimal investment problem with randomly terminating income

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An optimal investment problem with randomly terminating income

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Abstract— We investigate an optimal consumption and investment problem where we receive a certain ﬁxed income stream that is terminated at a random time. It turns out that the optimal strategy and the value function for this problem differ considerably from the case where our income stream is certain to continue indeﬁnitely. More speciﬁcally, the optimal consumption policy involves a function that is not analytic around the point that represents zero wealth.

Michel H. Vellekoop, Mark Davis

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CDC 2009 | Certain ﬁxed Income | Control Systems | Income Stream | Optimal Consumption |

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Added	21 Jul 2010
Updated	21 Jul 2010
Type	Conference
Year	2009
Where	CDC
Authors	Michel H. Vellekoop, Mark Davis

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