Explicit Solution of a General Consumption/Investment Problem

  title={Explicit Solution of a General Consumption/Investment Problem},
  author={I. Karatzas and J. Lehoczky and S. Sethi and S. 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… Expand
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Martingales, Stochastic Integrals, and Continuous Trading
  • Stochastic Process. Appl
  • 1981