Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility

DOI10.1016/J.JKSS.2018.06.001MaRDI QIDQ1622129zbMATH OpenOpenAlexFDO

Authors Ji Yeoun Kim, Yong Hyun Shin

Publication date 12 November 2018

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2018.06.001

zbMATH Keywords

portfolio selectionCARA utilityconvex duality methodsubsistence consumption constraintsnegative wealth constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Duality theory (optimization) (49N15)

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Cites work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• An optimal consumption and investment problem with quadratic utility and negative wealth constraints
• An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal investment
• Optimal retirement strategy with a negative wealth constraint
• Optimum consumption and portfolio rules in a continuous-time model
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Portfolio selection with subsistence consumption constraints and CARA utility
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption

Cited in

(6)

• Portfolio selection with subsistence consumption constraints and CARA utility
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
• An optimal consumption and investment problem with quadratic utility and negative wealth constraints
• An optimal consumption and investment problem with CES utility and negative wealth constraints
• CARA UTILITY AND OPTIMAL RETIREMENT
• Portfolio and consumption optimization problem with cobb-Douglas utility and negative wealth constraints

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