Optimal consumption and portfolio selection problem with downside consumption constraints
From MaRDI portal
Publication:2372062
DOI10.1016/j.amc.2006.11.053zbMath1298.91151OpenAlexW1964171154MaRDI QIDQ2372062
Yong Hyun Shin, Byung Hwa Lim, U. Jin Choi
Publication date: 10 July 2007
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2006.11.053
Related Items (19)
Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement ⋮ Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility ⋮ An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints ⋮ Comparison of optimal portfolios with and without subsistence consumption constraints ⋮ Increasing risk aversion and life-cycle investing ⋮ Dynamic spending and portfolio decisions with a soft social norm ⋮ Optimal investment, stochastic labor income and retirement ⋮ Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach ⋮ Portfolio selection with subsistence consumption constraints and CARA utility ⋮ 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 problems under loss aversion with downside consumption constraints ⋮ Optimal investment, consumption and retirement decision with disutility and borrowing constraints ⋮ Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans ⋮ Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints ⋮ Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint ⋮ AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH ⋮ An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach ⋮ Optimal consumption and portfolio selection with lower and upper bounds on consumption
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
- Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
This page was built for publication: Optimal consumption and portfolio selection problem with downside consumption constraints