Affiliation:
1. Department of Mathematics, University of Kaiserslautern, Erwin-Schrödinger-Straße, 67663 Kaiserslautern, Germany
Abstract
In a general semi-martingale financial market with possibly nonlinear wealth dynamics, incomplete information, and ambiguity, we show that the optimal consumption decision of an agent with logarithmic preferences can be separated from the agent's investment decisions. Using minimal assumptions and mathematical machinery, we demonstrate that the optimal consumption/wealth ratio is deterministic, and we derive an explicit formula for it.
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Cited by
1 articles.
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