Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility (Q1622129)
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scientific article; zbMATH DE number 6976425
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| English | Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility |
scientific article; zbMATH DE number 6976425 |
Statements
Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility (English)
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12 November 2018
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portfolio selection
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negative wealth constraints
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subsistence consumption constraints
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convex duality method
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CARA utility
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0.9262053966522216
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0.8661583662033081
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0.8567805290222168
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0.8536330461502075
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