Modeling of optimal portfolio strategies taking into account intermediate consumption under stochastic conditions

Abstract

Optimal financial investment strategies of an agent of the financial market when there is intermediate consumption taking into account stochastic dynamics of prices of risky assets and stochastic evolution of investment environment parameters are determined. Constituent parts of an optimal portfolio (speculative demand of an investor and a hedging portfolio) as functions of risk premiums, volatilities of risk assets prices and characteristics of utility of an investor are received in analytical form.