Finite horizon portfolio selection with a negative wealth constraint

DOI10.1016/J.CAM.2019.02.008MaRDI QIDQ2423686zbMATH OpenOpenAlexWikidataFDO

Authors Junkee Jeon, Yong Hyun Shin

Publication date 20 June 2019

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2019.02.008

zbMATH Keywords

free boundary problemsMellin transformnegative wealth constraintsportfolio selection

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Portfolio theory (91G10)

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• scientific article; zbMATH DE number 5002005

Cites work

• Controlled Markov processes and viscosity solutions
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• Labor income, borrowing constraints, and equilibrium asset prices
• Lifetime consumption and investment: retirement and constrained borrowing
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal retirement strategy with a negative wealth constraint
• Optimization of consumption with labor income
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary

Cited in

(7)

• Optimal retirement strategy with a negative wealth constraint
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• Reconciling mean-variance portfolio theory with non-Gaussian returns
• An optimal consumption and investment problem with stochastic hyperbolic discounting
• Portfolio and consumption optimization problem with cobb-Douglas utility and negative wealth constraints
• 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

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