Papers

Basic information

Name ENDO KAZUKI
Belonging department Management Information Course,Department of Business,Faculty of Humanities and Social Sciences
Occupation name Associate Professor
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Title 

Optimal consumption and portfolio problem with path dependent utility function (master thesis)

					

					

						

							

								

									
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Summary 

									
								

							

						

						
This research derived an optimal solution of dynamic portfolio and consumption problems under utility functions that depend on both consumption and habit formation. This paper also showed features of the optimal solution through some numerical simulations.

					

					

						

							

								

									
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Date of Issue 

									
								

							

						

						
199903