An optimal investment problem with randomly terminating income
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| Publication date | 2009 |
| Publisher | Amsterdam: Universiteit van Amsterdam |
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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. |
| Document type | Working paper |
| Language | English |
| Published at | http://www1.feb.uva.nl/pp/bin/1049fulltext.pdf |
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