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Интеллектуальная Система Тематического Исследования НАукометрических данных |
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We consider a multi-period discrete model of incomplete market evolving as a non-recombining scenario tree. The investor maximizes the expected utility of consumption of his wealth on a finite time period. Besides, he has an opportunity of trading on the stock market. This study presents decomposition schemes for solving consumption-investment problems with power and logarithm utility functions. We introduce dynamic programming algorithms that allow to reduce the main problem to the set of one-period problems.