A consumption-investment problem with constraints on minimum and maximum consumption rates
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Publication:1743955
DOI10.1016/J.CAM.2018.02.006zbMATH Open1395.91416OpenAlexW2793437623MaRDI QIDQ1743955FDOQ1743955
Authors: Chonghu Guan, Qinghua Ma, Fahuai Yi 
Publication date: 16 April 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.02.006
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Continuous-time stochastic control and optimization with financial applications
- Hedging contingent claims with constrained portfolios
- Title not available (Why is that?)
- Risk Aversion in the Small and in the Large
- Consumption-Investment Models with Constraints
- Optimal lifetime consumption and investment under a drawdown constraint
- An optimal consumption-investment model with constraint on consumption
- An Optimal Investment/Consumption Model with Borrowing
- Consumption and investment under constraints
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Income drawdown option with minimum guarantee
Cited In (11)
- Portfolio-consumption choice problem with voluntary retirement and consumption constraints
- Merton's financial multi-agent consumption
- Consumption-Investment Models with Constraints
- Optimal consumption and portfolio selection with lower and upper bounds on consumption
- Some results for a \(p(x)\)-Kirchhoff type variation-inequality problems in non-divergence form
- Optimal consumption-investment with critical wealth level
- An optimal consumption-investment model with constraint on consumption
- Consumption and investment under constraints
- Investment and consumption problem in finite time with consumption constraint
- A consumption-investment model with state-dependent lower bound constraint on consumption
- An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
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