Optimal portfolio and consumption subject to multidimensional economic factors
SUMMARY In this paper we consider a model for a portfolio comprising a bond and N stocks, which are affected by M economic factors. We formulate an equation for the wealth to encompass instantaneous fraction of wealth invested in the bond and the equities and seek to optimize the utility of the term...
Gespeichert in:
| Veröffentlicht in: | Optimal control applications & methods 2012-01, Vol.33 (1), p.23-31 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 31 |
|---|---|
| container_issue | 1 |
| container_start_page | 23 |
| container_title | Optimal control applications & methods |
| container_volume | 33 |
| creator | Chakrabarty, Siddhartha P. Zhu, Zongwu |
| description | SUMMARY
In this paper we consider a model for a portfolio comprising a bond and N stocks, which are affected by M economic factors. We formulate an equation for the wealth to encompass instantaneous fraction of wealth invested in the bond and the equities and seek to optimize the utility of the terminal wealth and instantaneous consumption. We illustrate the results by considering an example for a portfolio with one bond, one stock, and one economic factor, namely the gross domestic product. Copyright © 2011 John Wiley & Sons, Ltd. |
| doi_str_mv | 10.1002/oca.974 |
| format | Article |
| fullrecord | <record><control><sourceid>istex_cross</sourceid><recordid>TN_cdi_crossref_primary_10_1002_oca_974</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>ark_67375_WNG_QJWCWXQ0_J</sourcerecordid><originalsourceid>FETCH-LOGICAL-c2614-b917b718c4721d08b710e1426a01a8fe96070cf83bea4ec7ad6039212cc773eb3</originalsourceid><addsrcrecordid>eNp10FFLwzAQB_AgCs4pfoW--SCdd0nWtI-j6HSMlYEy30KappDZNqPp0H17IxXffLqD-93B_Qm5RZghAH1wWs0ywc_IBCHLYpwjPycTQM5iCqm4JFfe7wFAIKMTsikOg21VEx1cP9SusS5SXRVp1_ljG0aui_yx3Bs9RIOL2mMz2Mq2pvNhErZMgK61OqqVHlzvr8lFrRpvbn7rlLw9Pb7mz_G6WL7ki3WsaYI8LjMUpcBUc0GxgjT0YJDTRAGqtDZZAgJ0nbLSKG60UFUCLKNItRaCmZJNyd14V_fO-97U8tCHN_qTRJA_McgQgwwxBHk_yk_bmNN_TBb5YtTxqK0fzNefVv2HTAQTc7nbLOV2tct371uQK_YNZZFuXw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Optimal portfolio and consumption subject to multidimensional economic factors</title><source>Access via Wiley Online Library</source><creator>Chakrabarty, Siddhartha P. ; Zhu, Zongwu</creator><creatorcontrib>Chakrabarty, Siddhartha P. ; Zhu, Zongwu</creatorcontrib><description>SUMMARY
In this paper we consider a model for a portfolio comprising a bond and N stocks, which are affected by M economic factors. We formulate an equation for the wealth to encompass instantaneous fraction of wealth invested in the bond and the equities and seek to optimize the utility of the terminal wealth and instantaneous consumption. We illustrate the results by considering an example for a portfolio with one bond, one stock, and one economic factor, namely the gross domestic product. Copyright © 2011 John Wiley & Sons, Ltd.</description><identifier>ISSN: 0143-2087</identifier><identifier>EISSN: 1099-1514</identifier><identifier>DOI: 10.1002/oca.974</identifier><language>eng</language><publisher>Chichester, UK: John Wiley & Sons, Ltd</publisher><subject>bond ; gross domestic product ; optimal control ; portfolio ; stock</subject><ispartof>Optimal control applications & methods, 2012-01, Vol.33 (1), p.23-31</ispartof><rights>Copyright © 2011 John Wiley & Sons, Ltd.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c2614-b917b718c4721d08b710e1426a01a8fe96070cf83bea4ec7ad6039212cc773eb3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1002%2Foca.974$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1002%2Foca.974$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1417,27924,27925,45574,45575</link.rule.ids></links><search><creatorcontrib>Chakrabarty, Siddhartha P.</creatorcontrib><creatorcontrib>Zhu, Zongwu</creatorcontrib><title>Optimal portfolio and consumption subject to multidimensional economic factors</title><title>Optimal control applications & methods</title><addtitle>Optim. Control Appl. Meth</addtitle><description>SUMMARY
In this paper we consider a model for a portfolio comprising a bond and N stocks, which are affected by M economic factors. We formulate an equation for the wealth to encompass instantaneous fraction of wealth invested in the bond and the equities and seek to optimize the utility of the terminal wealth and instantaneous consumption. We illustrate the results by considering an example for a portfolio with one bond, one stock, and one economic factor, namely the gross domestic product. Copyright © 2011 John Wiley & Sons, Ltd.</description><subject>bond</subject><subject>gross domestic product</subject><subject>optimal control</subject><subject>portfolio</subject><subject>stock</subject><issn>0143-2087</issn><issn>1099-1514</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><recordid>eNp10FFLwzAQB_AgCs4pfoW--SCdd0nWtI-j6HSMlYEy30KappDZNqPp0H17IxXffLqD-93B_Qm5RZghAH1wWs0ywc_IBCHLYpwjPycTQM5iCqm4JFfe7wFAIKMTsikOg21VEx1cP9SusS5SXRVp1_ljG0aui_yx3Bs9RIOL2mMz2Mq2pvNhErZMgK61OqqVHlzvr8lFrRpvbn7rlLw9Pb7mz_G6WL7ki3WsaYI8LjMUpcBUc0GxgjT0YJDTRAGqtDZZAgJ0nbLSKG60UFUCLKNItRaCmZJNyd14V_fO-97U8tCHN_qTRJA_McgQgwwxBHk_yk_bmNN_TBb5YtTxqK0fzNefVv2HTAQTc7nbLOV2tct371uQK_YNZZFuXw</recordid><startdate>201201</startdate><enddate>201201</enddate><creator>Chakrabarty, Siddhartha P.</creator><creator>Zhu, Zongwu</creator><general>John Wiley & Sons, Ltd</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>201201</creationdate><title>Optimal portfolio and consumption subject to multidimensional economic factors</title><author>Chakrabarty, Siddhartha P. ; Zhu, Zongwu</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c2614-b917b718c4721d08b710e1426a01a8fe96070cf83bea4ec7ad6039212cc773eb3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>bond</topic><topic>gross domestic product</topic><topic>optimal control</topic><topic>portfolio</topic><topic>stock</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Chakrabarty, Siddhartha P.</creatorcontrib><creatorcontrib>Zhu, Zongwu</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><jtitle>Optimal control applications & methods</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Chakrabarty, Siddhartha P.</au><au>Zhu, Zongwu</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Optimal portfolio and consumption subject to multidimensional economic factors</atitle><jtitle>Optimal control applications & methods</jtitle><addtitle>Optim. Control Appl. Meth</addtitle><date>2012-01</date><risdate>2012</risdate><volume>33</volume><issue>1</issue><spage>23</spage><epage>31</epage><pages>23-31</pages><issn>0143-2087</issn><eissn>1099-1514</eissn><abstract>SUMMARY
In this paper we consider a model for a portfolio comprising a bond and N stocks, which are affected by M economic factors. We formulate an equation for the wealth to encompass instantaneous fraction of wealth invested in the bond and the equities and seek to optimize the utility of the terminal wealth and instantaneous consumption. We illustrate the results by considering an example for a portfolio with one bond, one stock, and one economic factor, namely the gross domestic product. Copyright © 2011 John Wiley & Sons, Ltd.</abstract><cop>Chichester, UK</cop><pub>John Wiley & Sons, Ltd</pub><doi>10.1002/oca.974</doi><tpages>9</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0143-2087 |
| ispartof | Optimal control applications & methods, 2012-01, Vol.33 (1), p.23-31 |
| issn | 0143-2087 1099-1514 |
| language | eng |
| recordid | cdi_crossref_primary_10_1002_oca_974 |
| source | Access via Wiley Online Library |
| subjects | bond gross domestic product optimal control portfolio stock |
| title | Optimal portfolio and consumption subject to multidimensional economic factors |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-26T10%3A45%3A20IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-istex_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Optimal%20portfolio%20and%20consumption%20subject%20to%20multidimensional%20economic%20factors&rft.jtitle=Optimal%20control%20applications%20&%20methods&rft.au=Chakrabarty,%20Siddhartha%20P.&rft.date=2012-01&rft.volume=33&rft.issue=1&rft.spage=23&rft.epage=31&rft.pages=23-31&rft.issn=0143-2087&rft.eissn=1099-1514&rft_id=info:doi/10.1002/oca.974&rft_dat=%3Cistex_cross%3Eark_67375_WNG_QJWCWXQ0_J%3C/istex_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true |