Optimal consumption and portfolio selection problem with downside consumption constraints

DOI10.1016/J.AMC.2006.11.053MaRDI QIDQ2372062zbMATH OpenOpenAlexFDO

Authors Yong Hyun Shin, Byung Hwa Lim, U. Jin Choi

Publication date 10 July 2007

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

Full work available at URL https://doi.org/10.1016/j.amc.2006.11.053

zbMATH Keywords

portfolio selectionutility maximizationconsumptionmartingale methoddownside consumption constraint

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• 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

Cited in

(27)

• Portfolio-consumption choice problem with voluntary retirement and consumption constraints
• An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
• Optimal investment, stochastic labor income and retirement
• Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
• Optimal consumption and portfolio selection with portfolio constraints
• Optimal consumption-portfolio problem with CVaR constraints
• Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
• Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
• Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
• Portfolio selection with subsistence consumption constraints and CARA utility
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
• Optimal consumption and portfolio selection with lower and upper bounds on consumption
• Down-side risk minimization under prescribed consumption level
• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Increasing risk aversion and life-cycle investing
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Portfolio selection with drawdown constraint on consumption: a generalization model
• Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach
• An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
• Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
• An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
• Optimal allocation–consumption problem for a portfolio with an illiquid asset
• Comparison of optimal portfolios with and without subsistence consumption constraints
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Optimal portfolio and consumption subject to multidimensional economic factors
• Dynamic spending and portfolio decisions with a soft social norm
• Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints

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