In this paper we are concerned with the tradeoff between long term growth of the expected utility of wealth and consumption. The goal is to find a consumption policy for which the optimal rate of capital growth is zero, i.e. a policy for which balance between consumption and investment is reached. The asymptotic limit of this investment problem when the HARA parameter γ → -∝ is also studied.
Applied Mathematics and Optimization – Springer Journals
Published: Aug 1, 2005
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