A Continous-Time Optimal Investment and Consumption Strategy for Commercial Banks under the Hamilton-Jacob-Bellman Optimization Technique with Bounded Interest Rates

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dc.contributor.advisorAnanda Kubeen_US
dc.contributor.authorChepng’eno, Rono Daisy
dc.date.accessioned2022-04-06T08:55:55Z
dc.date.available2022-04-06T08:55:55Z
dc.date.issued2021
dc.descriptionA Project Submitted in Partial Fulfillment of the Requirements for the Degree of Master of Science in Statistics (Msc Statistics) in the School of Pure and Applied Sciences of Kenyatta University, October, 2021en_US
dc.description.abstractThe CIR model is used to model interest rates in this project, which analyses an investment and consumption problem under bounded interest rate conditions. Our goal is to determine the optimal investment and consumption strategy to maximize predicted utility of consumption and terminal wealth. To begin, we build the HJB equation for the value function using the dynamic programming approach, and then complete our analysis using the logarithm utility. Second, by conjecturing the shape of a solution and solving partial differential equations, we build closedform solutions to the optimal investment and consumption strategies. Finally, we present a numerical example that demonstrates how market variables influence the best investment and consumption strategy.en_US
dc.description.sponsorshipKenyatta Universityen_US
dc.identifier.urihttp://ir-library.ku.ac.ke/handle/123456789/23516
dc.language.isoenen_US
dc.publisherKenyatta Universityen_US
dc.subjectContinous-Time Optimal Investmenten_US
dc.subjectConsumption Strategyen_US
dc.subjectCommercial Banksen_US
dc.subjectHamilton-Jacob-Bellman Optimization Techniqueen_US
dc.subjectBounded Interest Ratesen_US
dc.titleA Continous-Time Optimal Investment and Consumption Strategy for Commercial Banks under the Hamilton-Jacob-Bellman Optimization Technique with Bounded Interest Ratesen_US
dc.typeThesisen_US
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