On the accuracy of the deterministic approximation of the Markov model of investment and consumption optimization
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| Formato: | Recurso digital |
| Lenguaje: | inglés |
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2025
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| _version_ | 1866901694185472000 |
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| author | Gordienko, Evgueni Hernández Iglesias, Adolfo |
| author_facet | Gordienko, Evgueni Hernández Iglesias, Adolfo |
| 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> |
| format | Recurso digital |
| id | zenodo_https___doi_org_10_5281_zenodo_19545802 |
| institution | Zenodo |
| language | eng |
| publishDate | 2025 |
| publisher | Zenodo |
| record_format | zenodo |
| spellingShingle | On the accuracy of the deterministic approximation of the Markov model of investment and consumption optimization Gordienko, Evgueni Hernández Iglesias, Adolfo Optimal investment and consumption policy Markov control process Deterministic approximation of a process Upper bound of the stability index <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> |
| title | On the accuracy of the deterministic approximation of the Markov model of investment and consumption optimization |
| topic | Optimal investment and consumption policy Markov control process Deterministic approximation of a process Upper bound of the stability index |
| url | https://doi.org/10.5281/zenodo.19545802 |