Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints

DOI10.1016/j.insmatheco.2009.08.012zbMath1231.91418MaRDI QIDQ659160

Haili Yuan, Hu, Yijun

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.012

zbMATH Keywords

utility maximization; optimal portfolio; martingale method; consumption habit

Mathematics Subject Classification ID

91G10: Portfolio theory

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