Explicit Solution of a General Consumption/Investment Problem

  title={Explicit Solution of a General Consumption/Investment Problem},
  author={Ioannis Karatzas and John P. Lehoczky and Suresh P. Sethi and Steven E. Shreve},
  journal={Corporate Finance: Valuation},
This paper solves a general consumption and investment decision problem in closed form. An investor seeks to maximize total expected discounted utility of consumption. There are N distinct risky investments, modelled by dependent geometric Brownian motion processes, and one riskless deterministic investment. The analysis allows for a general utility function and general rates of return. The model and analysis take into consideration the inherent nonnegativity of consumption and consider… 

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