Consumption and investment under constraints

DOI10.1016/0165-1889(94)90038-8zbMath0875.90021OpenAlexW2080539707MaRDI QIDQ5894595

Indrajit Bardhan

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)90038-8

zbMATH Keywords

Constrained consumptionConsumption--investmentConvex dualityMartingale measuresPortfolio constraintsWealth bounds

Mathematics Subject Classification ID

Related Items (3)

Portfolio optimization with wealth-dependent risk constraints ⋮ Stochastic models for broker inventory in dealership markets with a cash management interpretation. ⋮ Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.

Cites Work

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• Convex duality in constrained portfolio optimization
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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Liquidity Considerations in the Theory of Consumption
• Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations
• Convex programming in Hilbert space

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