Parameter Estimation and Sensitivity Analysis of an Optimal Control Model for Capital Asset Management

Table 2

Definition of parameters to the model.

Parameter	Description
	Net worth at time (state variable)
	Liability ratio (control) at time ,
	Diffusion volatility of liability (with variance per unit time)
	Capital asset ratio (control)
	Diffusion volatility of asset (with variance per unit time)
	Capital gain on asset due to inflation at time
	Diffusion volatility on asset price (with variance per unit time)
	Mean rate of return on asset at time
(t)	Mean interest rate of liability time
	Liu canonical process at time
	Consumption level at time
	Tax ratio at time
	Depreciation ratio at time
	Asset supplies ratio at time
	subjective discount rate, e.g.,
	degree of relative risk, where is the risk aversion
	Utility function