Optimal investment and consumption strategies for small investor using Bellman's principle of optimality

摘要

This paper discusses optimal investment and consumption strategies in discrete-time setting for a small utility-maximizing investor in a finite-time horizon. The investor is interested in maximizing his/her final utility of wealth with respect to his/her investment and consumption strategies. Within discrete-time framework, we solve the problem using Bellman's principle of optimality. To illustrate the problem, we give some numerical examples based on lattice modelling of stock price movement and make use of MAPLE programming language.