Portfolio selection with subsistence consumption constraints and CARA utility

DOI10.1155/2014/153793zbMath1407.91236OpenAlexW2160379293WikidataQ59063273 ScholiaQ59063273MaRDI QIDQ1717770

Gyoocheol Shim, Yong Hyun Shin

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/153793

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility ⋮ CARA UTILITY AND OPTIMAL RETIREMENT ⋮ Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints ⋮ AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH ⋮ Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
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• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

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