caa a22 4500 606217371 CHVBK 20210128101107.0 cr unu---uuuuu 210128e20150401xx s 000 0 eng 10.1007/s10598-015-9266-1 doi (NATIONALLICENCE)springer-10.1007/s10598-015-9266-1 Babin V. Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia aut Portfolio Rules with Log Consumption Utility and Cox-Ingersoll-Ross Interest Rate [Elektronische Daten] [V. Babin] We consider the portfolio management problem with the objective of consumption optimization. Dynamic programming is applied to find the portfolio and consumption management strategy. Lower and upper solutions of an ordinary differential equation are applied to prove that the proposed strategy is optimal for an infinite planning horizon with a log utility function and interest rate specified by the generalized Cox-Ingersoll-Ross model. The optimal control is determined analytically for the Vasicek model. Springer Science+Business Media New York, 2015 optimal consumption nationallicence financial portfolio nationallicence log utility function nationallicence Cox-Ingersoll-Ross model nationallicence upper and lower solution method nationallicence Computational Mathematics and Modeling Springer US; http://www.springer-ny.com 26/2(2015-04-01), 175-183 1046-283X 26:2<175 2015 26 10598 https://doi.org/10.1007/s10598-015-9266-1 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10598-015-9266-1 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Babin V. Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia aut NATIONALLICENCE 773 0- Computational Mathematics and Modeling Springer US; http://www.springer-ny.com 26/2(2015-04-01), 175-183 1046-283X 26:2<175 2015 26 10598