AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH

DOI10.3846/MMA.2018.038zbMath1488.91124OpenAlexW2897884845MaRDI QIDQ4959414

Yong Hyun Shin, Kum-Hwan Roh, Jung Lim Koo

Publication date: 13 September 2021

Published in: Mathematical Modelling and Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3846/mma.2018.038

zbMATH Keywords

portfolio selectiondynamic programming methodquadratic utilitysubsistence consumption constraints

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (3)

An optimization method to solve a fully intuitionistic fuzzy non-linear separable programming problem ⋮ Optimal consumption/investment and retirement with necessities and luxuries ⋮ Optimal consumption and portfolio selection with lower and upper bounds on consumption

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