Consumption processes and positively homogeneous projection properties

Details Consumption processes and positively homogeneous projection properties Consumption processes and positively homogeneous projection properties

2007-11-27

arxiv.org/abs/0711.4225v1

Economy

Quantitative Finance

General Finance

24 pages, 2 figures

Scientific paper

We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous projection property (PHPP) and let the account always be positive and exactly zero at the end. One possible example is consumption rates forming a martingale under the above restrictions. For finite spaces, it is shown that any strictly positive consumption strategy with restrictions as above possesses at least one corresponding PHPP and could be constructed from it. We also consider numeric examples under time-discrete and -continuous account processes, cases with infinite time horizons and applications to income drawdown and bonus theory.

Affiliated with

Also associated with

No associations

Rating

Consumption processes and positively homogeneous projection properties does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Consumption processes and positively homogeneous projection properties, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Consumption processes and positively homogeneous projection properties will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-686412