An optimal investment/consumption problem with higher borrowing rate

DOI10.1007/s11766-998-0010-xzbMath0914.90027OpenAlexW2035221079MaRDI QIDQ1387523

Wensheng Xu, Xiong-wei Wu, Shu-ping Chen

Publication date: 7 June 1998

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-998-0010-x

zbMATH Keywords

optimal choice

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for free problems in one independent variable (49K05)

Cites Work

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• Optimal consumption/portfolio choice with borrowing rate higher than deposit rate