An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach (Q4959414)
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scientific article; zbMATH DE number 7394633
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| English | An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach |
scientific article; zbMATH DE number 7394633 |
Statements
AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH (English)
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13 September 2021
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portfolio selection
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quadratic utility
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subsistence consumption constraints
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dynamic programming method
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0.8724910020828247
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0.861710250377655
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0.8611928820610046
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0.8576799631118774
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