Optimal consumption and portfolio selection with lower and upper bounds on consumption

DOI10.1186/S13662-020-02809-4MaRDI QIDQ2116155zbMATHOpenAlexFDO

Authors Kum-Hwan Roh, Yong Hyun Shin

Publication date 16 March 2022

Published in Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1186/s13662-020-02809-4

zbMATH Keywords

dynamic programming approachCRRA utilityconsumption constraintsconsumption/investment problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Recommendations

• OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
• Optimal consumption and portfolio selection with portfolio constraints
• A consumption-investment problem with constraints on minimum and maximum consumption rates
• A consumption-investment model with state-dependent lower bound constraint on consumption
• Optimal consumption and portfolio selection problem with downside consumption constraints

Cites work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• A consumption-investment problem with constraints on minimum and maximum consumption rates
• An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
• An optimal consumption-investment model with constraint on consumption
• An optimal job, consumption/leisure, and investment policy
• Investment and consumption problem in finite time with consumption constraint
• Optimal consumption and investment with insurer default risk
• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
• Optimum consumption and portfolio rules in a continuous-time model
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• Unemployment risks and optimal retirement in an incomplete market

Cited in

(16)

• Portfolio selection with drawdown constraint on consumption: a generalization model
• Portfolio selection with subsistence consumption constraints and CARA utility
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Research advances on optimal consumption and portfolio issue with labor income
• A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
• Optimal portfolio and consumption subject to multidimensional economic factors
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
• scientific article; zbMATH DE number 2165725 (Why is no real title available?)
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
• An optimal consumption-investment model with constraint on consumption
• Utilities bounded below
• Optimal consumption and portfolio choice with ambiguity and anticipation
• A consumption-investment model with state-dependent lower bound constraint on consumption
• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Optimal consumption and portfolio under inflation and Markovian switching

This page was built for publication: Optimal consumption and portfolio selection with lower and upper bounds on consumption

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116155)