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August 1999 Optimal long term growth rate of expected utility of wealth
Wendell H. Fleming, Shuenn-Jyi Sheu
Ann. Appl. Probab. 9(3): 871-903 (August 1999). DOI: 10.1214/aoap/1029962817


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.


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Wendell H. Fleming. Shuenn-Jyi Sheu. "Optimal long term growth rate of expected utility of wealth." Ann. Appl. Probab. 9 (3) 871 - 903, August 1999.


Published: August 1999
First available in Project Euclid: 21 August 2002

zbMATH: 0962.91036
MathSciNet: MR1722286
Digital Object Identifier: 10.1214/aoap/1029962817

Primary: 90A09 , 93E20
Secondary: 60H30 , 90A19

Keywords: dynamical programming equation , Long term growth rate , optimal policy , Ornstein-Uhlenbeck process , risk sensitive control

Rights: Copyright © 1999 Institute of Mathematical Statistics


Vol.9 • No. 3 • August 1999
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