Optimal consumption and investment problems under GARCH with transaction costs

被引：5
|
作者：
Chen, ZP [1 ]
Yuen, KC
机构：
[1] Xian Jiaotong Univ, Fac Sci, Dept Sci Comp & Appl Software, Xian 710049, Shaanxi, Peoples R China
[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2005年 / 61卷 / 02期
关键词：
consumption and investment problems; the GARCH model; stochastic programming; decomposition; the augmented Lagrangian;
D O I：
10.1007/s001860400396
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：
General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a GARCH-type process is used to model the risky assets return series so that its time-varying moments and conditional heteroskedasticity can be properly described. We model this kind of consumption and investment problems as dynamic stochastic optimization problems, which can easily cope with different utility functions and any number of time periods. The procedure to efficiently solve the resulting nonlinear stochastic optimization problem is discussed in detail and a parallelizable decomposition algorithm is devised. Numerical results show the suitability and promise of our methodology.
引用
收藏
页码：219 / 237
页数：19
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