Optimal consumption and portfolio selection with lower and upper bounds on consumption

DOI10.1186/S13662-020-02809-4zbMath1485.91216OpenAlexW3041757222MaRDI QIDQ2116155

Yong Hyun Shin, Kum-Hwan Roh

Publication date: 16 March 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-020-02809-4

zbMATH Keywords

dynamic programming approachCRRA utilityconsumption constraintsconsumption/investment problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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