An optimal consumption-investment model with constraint on consumption
From MaRDI portal
Publication:326805
DOI10.3934/mcrf.2016014zbMath1414.91355arXiv1404.7698OpenAlexW127954762MaRDI QIDQ326805
Publication date: 12 October 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.7698
free boundary problemconstrained viscosity solutionconstrained consumptionoptimal consumption-investment modelstochastic control in finance
Related Items (8)
A consumption-investment model with state-dependent lower bound constraint on consumption ⋮ A portfolio choice problem under risk capacity constraint ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ A consumption-investment problem with constraints on minimum and maximum consumption rates ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs ⋮ 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 lifetime consumption and investment under a drawdown constraint
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Convex duality in constrained portfolio optimization
- Hedging contingent claims with constrained portfolios
- Optimal investment and consumption with transaction costs
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Controlled Markov processes and viscosity solutions
- OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
- A Problem of Singular Stochastic Control with Optimal Stopping in Finite Horizon
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Continuous-Time Markowitz's Model with Transaction Costs
- Viscosity Solutions of Hamilton-Jacobi Equations
- An Optimal Investment/Consumption Model with Borrowing
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Consumption-Investment Models with Constraints
- On an Investment-Consumption Model with Transaction Costs
- Portfolio Selection with Transaction Costs
- Consumption and investment under constraints
This page was built for publication: An optimal consumption-investment model with constraint on consumption
