Optimal consumption and portfolio choice with borrowing constraints
From MaRDI portal
Publication:1385278
DOI10.1006/jeth.1997.2285zbMath0897.90078OpenAlexW2014085061MaRDI QIDQ1385278
Jean-Luc Vila, Thaleia Zariphopoulou
Publication date: 14 June 1998
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/48648
Dynamic programming in optimal control and differential games (49L20) Economic growth models (91B62) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42)
Related Items
Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model, Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model, Optimal life insurance with no-borrowing constraints: duality approach and example, Minimizing the lifetime ruin under borrowing and short-selling constraints, Simple explicit formula for near-optimal stochastic lifestyling, A portfolio choice problem under risk capacity constraint, An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon, Optimal investment, stochastic labor income and retirement, Minimization of risks in pension funding by means of contributions and portfolio selection., The \textit{CEV} model and its application in a study of optimal investment strategy, A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models, Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform, Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics, A geometric approach to multiperiod mean variance optimization of assets and liabilities, Optimal investment problem under non-extensive statistical mechanics, An investment and consumption problem with CIR interest rate and stochastic volatility, Household utility maximization with life insurance: a CES utility case, The \(CEV\) model and its application to financial markets with volatility uncertainty, Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework, Numerical methods for portfolio selection with bounded constraints, Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints, OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION, Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, Asset management with endogenous withdrawals under a drawdown constraint, Optimum Constrained Portfolio Rules in a Diffusion Market, An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach, A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
- A variational problem arising in financial economics
- Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Convex duality in constrained portfolio optimization
- Labor income, borrowing constraints, and equilibrium asset prices
- Hedging in incomplete markets with HARA utility
- Numerical schemes for investment models with singular transactions
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- An Intertemporal General Equilibrium Model of Asset Prices
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Viscosity Solutions of Hamilton-Jacobi Equations
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- An Optimal Investment/Consumption Model with Borrowing
- Numerical Methods for an Optimal Investment-Consumption Model
- User’s guide to viscosity solutions of second order partial differential equations
- Consumption-Investment Models with Constraints
- Optimal Investment With Undiversifiable Income Risk
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
