Optimal investment consumption model with a higher interest rate for borrowing

DOI10.1007/S11766-000-0060-1zbMATH Open0971.91025OpenAlexW60152383MaRDI QIDQ1589816FDOQ1589816

Authors: Weiyin Fei, Rangquan Wu 

Publication date: 26 October 2001

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-000-0060-1

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zbMATH Keywords

martingaleconvex analysisstochastic controlconsumption and investmentdividend rate

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Convex duality in constrained portfolio optimization
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• An Optimal Investment/Consumption Model with Borrowing
• Title not available (Why is that?)
• Study of constrained portfolio model on optimization of utility from terminal wealth.

Cited In (4)

• Optimal consumption and portfolio choice with ambiguity and anticipation
• Optimal Portfolio Choice Based on α-MEU Under Ambiguity
• Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
• On a free boundary problem for an optimal investment problem with different interest rates

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