Consumption/investment problem when the investment opportunity set can be enlarged by information gathering

被引：1
|
作者：
Shim, Gyoocheol [1 ]
机构：
[1] Ajou Univ, Grad Dept Financial Engn, Suwon 443749, South Korea
来源：
OPERATIONS RESEARCH LETTERS | 2011年 / 39卷 / 04期
关键词：
Consumption; Investment; Information gathering; Utility; Brownian motion; PORTFOLIO SELECTION;
D O I：
10.1016/j.orl.2011.04.004
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
I investigate an optimal information gathering and consumption/investment choice of an investor who can find a better opportunity by an information gathering option. I obtain a closed form solution, under which, the investor gathers information as soon as his wealth exceeds a certain critical level, consumes less and takes more risk than he would in the absence of such an option. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：283 / 288
页数：6
相关论文
共 50 条
12345