Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

DOI10.1080/07362994.2015.1112748zbMath1333.91051OpenAlexW2201179474MaRDI QIDQ2798177

Jung Lim Koo, Yong Hyun Shin, Byung Lim Koo, Hyeng Keun Koo, Seryoong Ahn

Publication date: 1 April 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1112748

zbMATH Keywords

portfolio selectionmartingale methodsubsistence consumption constraintquadratic utility

Mathematics Subject Classification ID

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

Related Items (9)

An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints ⋮ An optimal consumption and investment problem with quadratic utility and negative wealth constraints ⋮ Portfolio decision with a quadratic utility and inflation risk ⋮ Minimizing a stochastic convex function subject to stochastic constraints and some applications ⋮ 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 ⋮ Optimal consumption/investment and retirement with necessities and luxuries ⋮ Ratcheting with a bliss level of consumption ⋮ Optimal consumption and portfolio selection with lower and upper bounds on consumption

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
• 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
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

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