Optimal consumption-investment with critical wealth level

DOI10.1016/J.JMAA.2016.04.072zbMATH Open1339.91106OpenAlexW2345456921MaRDI QIDQ302040FDOQ302040

Authors: Sungsub Choi, Sungjun Kim, Gyoocheol Shim 

Publication date: 4 July 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.04.072

Recommendations

• A consumption-investment problem with constraints on minimum and maximum consumption rates
• Consumption-Investment Models with Constraints
• An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
• A consumption-investment model with state-dependent lower bound constraint on consumption
• An optimal consumption-investment model with constraint on consumption

zbMATH Keywords

investmentdynamic programming methodconsumptioncritical wealthnonnegative insurance premium constraint

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• A preference change and discretionary stopping in a consumption and portfolio selection problem

Cited In (2)

• Consumption-investment decisions with endogenous reference point and drawdown constraint
• An application of dynamic programming principle in corporate international optimal investment and consumption choice problem

This page was built for publication: Optimal consumption-investment with critical wealth level

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q302040)