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

DOI10.1016/J.JKSS.2018.06.001zbMATH Open1417.91458OpenAlexW2810525898MaRDI QIDQ1622129FDOQ1622129

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

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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)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
• Title not available (Why is that?)
• Optimal investment
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Portfolio selection with subsistence consumption constraints and CARA utility
• Optimal retirement strategy with a negative wealth constraint
• An optimal consumption and investment problem with quadratic utility and negative wealth constraints

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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