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| Main Authors: | , |
|---|---|
| Format: | Recurso digital |
| Language: | English |
| Published: |
Zenodo
2025
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| Subjects: | |
| Online Access: | https://doi.org/10.5281/zenodo.19545802 |
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Table of Contents:
- <p>This brief paper discusses the problem of long-term optimal consumption and investment. The corresponding model is formulated in terms of a discrete-time Markov control process. Rather than being concerned with the optimization of portfolio strategies, we are dealing with the accuracy of approximating the original control process with its deterministic version. In the case of small variances of returns on risky assets, we prove an inequality that gives an upper bound on the decrease in expected utility when implementing the approximation.</p>