{"product_id":"optimal-portfolio-selection-in-stochastic-environment-von-karan-thagunna","title":"Optimal portfolio selection in stochastic environment","description":"\u003cp\u003eIn this dissertation, we consider a particular case  of an optimal consumption and portfolio selection problem for an innitely lived  investor whose consumption rate process is subject to downside constraint. We also  suppose that the wealth dynamics is composed of three assets (i) riskless assets  (ii)  risky assets (iii) hedge assets. We consider the investor''s wealth process,  interpreted in the sense of the It^o integral.Our work aims to find the optimal policies  which maximize the expected discount utility function.Furthermore, we obtain the optimal  policies in an explicit form for the log utility function which is a special case of the general  utility (CRRA) function, using the martingale method and applying the  Legendre transform formula and the Feynman-kac formula. We derive some numerical  results for the optimal policies and compare the results with the classical Merton''s  result evaluated for an innite horizon case.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838353975\"\u003e\u003ch3\u003eThree Assets Model for portfolio selection under a constrained consumption rate process\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838353975","offer_id":39499068375133,"sku":"9783838353975","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/120668f2-6902-495c-9aa3-747d2f630683.jpg?v=1773470966","url":"https:\/\/shop.autorenwelt.de\/products\/optimal-portfolio-selection-in-stochastic-environment-von-karan-thagunna","provider":"Autorenwelt Shop","version":"1.0","type":"link"}