Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints

DOI10.1016/j.amc.2016.11.029zbMath1411.91531OpenAlexW2566822952MaRDI QIDQ1735133

Shuguang Zhang, Xiuchun Bi, Rong Li, Jingjing Song

Publication date: 28 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2016.11.029

zbMATH Keywords

loss aversionmartingale methodconsumption constraintsoptimal portfolio and consumption

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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