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Optimal Consumption and Portfolio Allocation Using Stochastic Utility and Numerical Techniques

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abstract
This thesis builds on economist Robert Merton's portfolio optimization theory that he developed in a series of papers, beginning in 1969, and leading up to the publication of his book, \textit{Continuous Time Finance} in 1990. This thesis explores previous literature and develops a framework for modeling n-dimensional portfolios using partial differential equations derived from the Hamilton-Jacobi-Bellman equations. The culminating chapter of this thesis seeks to derive a convergent numerical scheme for such a portfolio under a generalized stochastic consumption utility.
subject
contributor
Harmon, Michael (author)
Holmes, John M (committee chair)
Robinson, Stephen (committee member)
Rouse, Jeremy (committee member)
date
2022-05-24T08:36:02Z (accessioned)
2022-05-24T08:36:02Z (available)
2022 (issued)
degree
Mathematics and Statistics (discipline)
identifier
http://hdl.handle.net/10339/100736 (uri)
language
en (iso)
publisher
Wake Forest University
title
Optimal Consumption and Portfolio Allocation Using Stochastic Utility and Numerical Techniques
type
Thesis

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