Accession Number : AD0769210

Title :   Optimal Consumption with an Exponential Utility Function.

Descriptive Note : Master's thesis,

Corporate Author : CALIFORNIA UNIV LOS ANGELES WESTERN MANAGEMENT SCIENCE INST

Personal Author(s) : Ratnofsky,Alexander C.

Report Date : SEP 1973

Pagination or Media Count : 36

Abstract : The paper develops a model for the determination of an individual's optimal consumption strategy when he is faced with a stochastic income stream. With the use of an exponential utility function an upper bound on optimal consumption is found. This upper bound is found to increase as future income becomes more certain. The optimal amount to consume when all future income is deterministic is also found. Finally, examples are given to illustrate the results obtained and to highlight the importance of the selection of the various parameters. (Author)

Descriptors :   (*Consumption, Theorems), (*Investments, Decision making), (*Dynamic programming, Optimization), Stochastic processes, Risk, Convex sets, Strategy, Theses

Subject Categories : Economics and Cost Analysis
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE