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

DOI10.1007/S10436-019-00354-ZzbMATH Open1437.91261OpenAlexW2983434504WikidataQ115605554 ScholiaQ115605554MaRDI QIDQ2174172FDOQ2174172

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

Recommendations

• An optimal consumption-investment model with constraint on consumption
• Optimal lifetime consumption and investment under a drawdown constraint
• Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
• A consumption-investment model with state-dependent lower bound constraint on consumption
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

zbMATH Keywords

occupation timeexpected utilityoptimal consumptionoptimal investmentpoverty

Mathematics Subject Classification ID

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

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• 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
• Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Portfolio optimization under the Value-at-Risk constraint

Cited In (1)

• Correspondence between lifetime minimum wealth and utility of consumption

This page was built for publication: Maximizing expected exponential utility of consumption with a constraint on expected time in poverty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2174172)