Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility

DOI10.1016/J.JKSS.2018.06.001zbMath1417.91458OpenAlexW2810525898MaRDI QIDQ1622129

Ji Yeoun Kim, Yong Hyun Shin

Publication date: 12 November 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.06.001

zbMATH Keywords

portfolio selectionCARA utilityconvex duality methodsubsistence consumption constraintsnegative wealth constraints

Mathematics Subject Classification ID

Utility theory (91B16) Duality theory (optimization) (49N15) Portfolio theory (91G10)

Related Items (1)

CARA UTILITY AND OPTIMAL RETIREMENT

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
• Portfolio selection with subsistence consumption constraints and CARA utility
• Optimal retirement strategy with a negative wealth constraint
• Optimal consumption and portfolio selection problem with downside consumption constraints
• An optimal consumption and investment problem with quadratic utility and negative wealth constraints
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• Optimal Investment
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

This page was built for publication: Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility