Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
DOI10.1007/s13160-020-00440-0zbMath1461.91275OpenAlexW3051888061MaRDI QIDQ2024617
Yong Hyun Shin, Junkee Jeon, Myungjoo Kang
Publication date: 4 May 2021
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-020-00440-0
Cauchy problemintegral transformutility maximizationportfolio selectionmartingale methodtime-varying subsistence consumption constraints
Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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