Optimal investment consumption model with a higher interest rate for borrowing

DOI10.1007/S11766-000-0060-1zbMath0971.91025OpenAlexW60152383MaRDI QIDQ1589816

Rangquan Wu, Weiyin Fei

Publication date: 26 October 2001

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

Full work available at URL: https://doi.org/10.1007/s11766-000-0060-1

zbMATH Keywords

stochastic controlmartingaleconvex analysisconsumption and investmentdividend rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Duality theory (optimization) (49N15)

Related Items (3)

Anticipative portfolio optimization under constraints and a higher interest rate for borrowing ⋮ Optimal consumption and portfolio choice with ambiguity and anticipation ⋮ Optimal Portfolio Choice Based on α-MEU Under Ambiguity

Cites Work

• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Convex duality in constrained portfolio optimization
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• An Optimal Investment/Consumption Model with Borrowing
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal investment consumption model with a higher interest rate for borrowing