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General Closed-Form Solutions to the Dynamic Optimization Problem in Incomplete Markets
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Abstract
In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal portfolio.
KeywordsStochasticIncomplete MarketsInvestment
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