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Identifier to cite or link to this item: https://hdl.handle.net/10086/23073

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Title
On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk
Creator
Creator Name
HONDA, Toshiki HONDA, Toshiki
本多, 俊毅 本多, 俊毅
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
KAMIMURA, Shoji KAMIMURA, Shoji
上村, 昌司 上村, 昌司
Affiliation
Affiliation Name
Reitaku University
Key Word
Optimal portfolios
Hamilton-Jacobi-Bellman equation
stochastic market price of risk
verification theorem
Abstract
In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian pro- cesses. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to the portfolio selection problem.
Description
The original publication is available at www.springerlink.com
Publisher
Springer Netherlands
Issued Date
2011-05
Language
English(eng)
Resource Type
journal article
Version Type
AM
ISSN
13872834
NCID
AA11224457
Source Title
Asia-Pacific Financial Markets
Volume Number
18
Issue Number
2
Page Start
151
Page End
166
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/23073