An optimal consumption and investment problem with quadratic utility and negative wealth constraints

DOI10.1186/S13660-017-1469-XMaRDI QIDQ2400765zbMATH OpenOpenAlexWikidataFDO

Authors Kum-Hwan Roh, Ji Yeoun Kim, Yong Hyun Shin

Publication date 30 August 2017

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13660-017-1469-x

zbMATH Keywords

consumptionmartingale methodnegative wealth constraintsportfolio selectionquadratic utility

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• An optimal consumption and investment problem with CES utility and negative wealth constraints
• Portfolio and consumption optimization problem with cobb-Douglas utility and negative wealth constraints
• Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
• An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

Cites work

• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Optimal retirement strategy with a negative wealth constraint
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(8)

• Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
• Portfolio decision with a quadratic utility and inflation risk
• A consumption-investment problem with constraints on minimum and maximum consumption rates
• Ratcheting with a bliss level of consumption
• Portfolio and consumption optimization problem with cobb-Douglas utility and negative wealth constraints
• An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
• An optimal consumption and investment problem with CES utility and negative wealth constraints
• Portfolio selection and consumption for individuals with truncated quadratic utilities and satiation points

This page was built for publication: An optimal consumption and investment problem with quadratic utility and negative wealth constraints

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2400765)