Maximizing expected exponential utility of consumption with a constraint on expected time in poverty

DOI10.1007/S10436-019-00354-ZMaRDI QIDQ2174172zbMATHOpenAlexWikidataFDO

Authors Dongchen Li, Virginia R. Young

Publication date 20 April 2020

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-019-00354-z

zbMATH Keywords

occupation timeexpected utilityoptimal consumptionoptimal investmentpoverty

Mathematics Subject Classification ID

Utility theory (91B16) Consumer behavior, demand theory (91B42)

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Cites work

• An optimal consumption problem in finite time with a constraint on the ruin probability
• Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
• Optimal portfolios under a value-at-risk constraint
• Optimally investing to reach a bequest goal
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio optimization under the Value-at-Risk constraint
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint

Cited in

(1)

• Correspondence between lifetime minimum wealth and utility of consumption

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