Optimal consumption and portfolio selection problem with downside consumption constraints
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Publication:2372062
DOI10.1016/J.AMC.2006.11.053zbMATH Open1298.91151OpenAlexW1964171154MaRDI QIDQ2372062FDOQ2372062
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
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
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- 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
- Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
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 with portfolio constraints
- Optimal consumption and portfolio selection problems under loss aversion with downside consumption 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 investment, consumption and retirement decision with disutility and borrowing constraints
- Increasing risk aversion and life-cycle investing
- Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
- Portfolio selection with drawdown constraint on consumption: a generalization model
- An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time 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
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Comparison of optimal portfolios with and without subsistence consumption 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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