Consumption and investment under constraints

DOI10.1016/0165-1889(94)90038-8zbMath0803.90020OpenAlexW2080539707MaRDI QIDQ5906560

Indrajit Bardhan

Publication date: 10 August 1994

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)90038-8

zbMATH Keywords

convex dualityportfolio constraintsfinancial marketconstrained consumptionmartingale measuresconsumption-investmentportfolio policieswealth bounds

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (7)

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ An optimal consumption-investment model with constraint on consumption ⋮ Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ A consumption-investment model with state-dependent lower bound constraint on consumption ⋮ Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients ⋮ A consumption-investment problem with constraints on minimum and maximum consumption rates ⋮ Optimal investment with minimum performance constraints

Cites Work

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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Liquidity Considerations in the Theory of Consumption
• Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Convex programming in Hilbert space

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