Optimal Consumption and Investment for Exponential Utility Function

Year 2017, , 19 - 26, 30.04.2017

Faiza Limam_belarbi Fatima Zohra Tahraoui

https://doi.org/10.36753/mathenot.421478

Cited By: 1

Abstract

We investigate an optimal consumption and investment problem for Black-Scholes type financial market
on the whole investment interval [0, T]. We formulate various utility maximization problem, which can
be solved explicitly. The method of solution uses the convex dual function (Legendre transform) of the
utility function. Related to this concept, we introduce and study the convex dual of the value function for
our problem.

Keywords

Portfolio optimization, consumption, exponential utility Convex duality

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