The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 9, Number 3 (1999), 871-903.
Optimal long term growth rate of expected utility of wealth
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.
Ann. Appl. Probab., Volume 9, Number 3 (1999), 871-903.
First available in Project Euclid: 21 August 2002
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 90A09 93E20: Optimal stochastic control
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.) 90A19
Fleming, Wendell H.; Sheu, Shuenn-Jyi. Optimal long term growth rate of expected utility of wealth. Ann. Appl. Probab. 9 (1999), no. 3, 871--903. doi:10.1214/aoap/1029962817. https://projecteuclid.org/euclid.aoap/1029962817