Optimal consumption and portfolio selection problem with downside consumption constraints

DOI10.1016/j.amc.2006.11.053zbMath1298.91151MaRDI QIDQ2372062

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

utility maximization; consumption; portfolio selection; martingale method; downside consumption constraint

Mathematics Subject Classification ID

91G10: Portfolio theory

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Cites Work

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