Detailed Information
Cited 0 time in 
Cited 1 time in 
Cited 1 time in
Metadata Downloads
Optimal consumption and portfolio selection with lower and upper bounds on consumption
- Authors
- Roh, Kum-Hwan; Shin, Yong Hyun
- Issue Date
- Jul-2020
- Publisher
- SPRINGER
- Keywords
- Consumption constraints; Consumption; Investment problem; CRRA utility; Dynamic programming approach
- Citation
- ADVANCES IN DIFFERENCE EQUATIONS, v.2020, no.1, pp 1 - 11
- Pages
- 11
- Journal Title
- ADVANCES IN DIFFERENCE EQUATIONS
- Volume
- 2020
- Number
- 1
- Start Page
- 1
- End Page
- 11
- ISSN
- 1687-1839
1687-1847
- Abstract
- We investigate the optimal consumption and investment problem with lower and upper bounds on consumption constraints. We derive closed-form solutions by means of the dynamic programming approach. We also evaluate the effects of the optimal consumption and portfolio on consumption constraints and present some numerical/economic implications. In particular, we see that the upper bound on consumption acts as a bliss level in a quadratic utility model.
- Files in This Item
- Go to Link
- Appears in
Collections - 이과대학 > 수학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.