Portfolio selection with subsistence consumption constraints and CARA utility
type: Item
instance of: scholarly article
title: Portfolio selection with subsistence consumption constraints and CARA utility
zbMATH Open document ID: 1407.91236
DOI: 10.1155/2014/153793
author: Gyoocheol Shim
author: Yong Hyun Shin
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: We consider the optimal consumption and portfolio choice problem with constant absolute risk aversion (CARA) utility and a subsistence consumption constraint. A subsistence consumption constraint means there exists a positive constant minimum level for the agent's optimal consumption. We use the dynamic programming approach to solve the optimization problem and also give the verification theorem. We illustrate the effects of the subsistence consumption constraint on the optimal consumption and portfolio choice rules by the numerical results.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 7015799
Wikidata QID: Q59063273
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/153793
OpenAlex ID: W2160379293
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description: scientific article; zbMATH DE number 7015799