Comparison of optimal portfolios with and without subsistence consumption constraints

DOI10.1016/j.na.2010.08.014zbMath1198.91198OpenAlexW2086231871MaRDI QIDQ603016

Byung Hwa Lim, Yong Hyun Shin

Publication date: 5 November 2010

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2010.08.014

zbMATH Keywords

optimal portfolioretirementCRRA utility functionsubsistence constraints

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (4)

An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints ⋮ Unnamed Item ⋮ Portfolio selection with subsistence consumption constraints and CARA utility ⋮ AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH

Cites Work

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• A nonlinear partial differential equation for american options in the entire domain of the state variable
• Utility Maximization with Discretionary Stopping
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

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