Portfolio and consumption optimization problem with cobb-Douglas utility and negative wealth constraints

DOI10.14317/JAMI.2018.301zbMATH Open1403.91325OpenAlexW3030674295MaRDI QIDQ3174711FDOQ3174711

Authors: Kum-Hwan Roh 

Publication date: 18 July 2018

Full work available at URL: http://koreascience.or.kr:80/article/JAKO201816363646801.pdf

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zbMATH Keywords

utility maximizationmartingale methodsCobb-Douglas utilitynegative wealth constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Martingales with continuous parameter (60G44)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
• A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Optimal retirement strategy with a negative wealth constraint

Cited In (1)

• Finite horizon portfolio selection with a negative wealth constraint

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