Optimal investment-consumption problem with constraint

DOI10.3934/jimo.2013.9.743zbMath1275.91125OpenAlexW2043651232MaRDI QIDQ380510

Ka-Fai Cedric Yiu, Jingzhen Liu, Kok Lay Teo

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.743

zbMATH Keywords

dualitymartingaleinvestmentconsumptiondynamic risk constraint

Mathematics Subject Classification ID

Stochastic programming (90C15) Martingales and classical analysis (60G46) Portfolio theory (91G10)

Related Items (5)

Differential optimization in finite-dimensional spaces ⋮ Optimal consumption with reference-dependent preferences in on-the-job search and savings ⋮ Optimal consumption-portfolio problem with CVaR constraints ⋮ Optimal investment problem under non-extensive statistical mechanics ⋮ Fiscal centralization vs. decentralization on economic growth and welfare: an optimal-control approach

This page was built for publication: Optimal investment-consumption problem with constraint