Optimal consumption and portfolio selection with lower and upper bounds on consumption
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Roh, Kum-Hwan | - |
dc.contributor.author | Shin, Yong Hyun | - |
dc.date.available | 2021-02-22T05:23:42Z | - |
dc.date.issued | 2020-07 | - |
dc.identifier.issn | 1687-1839 | - |
dc.identifier.issn | 1687-1847 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/1365 | - |
dc.description.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. | - |
dc.format.extent | 11 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | SPRINGER | - |
dc.title | Optimal consumption and portfolio selection with lower and upper bounds on consumption | - |
dc.type | Article | - |
dc.publisher.location | 미국 | - |
dc.identifier.doi | 10.1186/s13662-020-02809-4 | - |
dc.identifier.scopusid | 2-s2.0-85087667224 | - |
dc.identifier.wosid | 000552034700007 | - |
dc.identifier.bibliographicCitation | ADVANCES IN DIFFERENCE EQUATIONS, v.2020, no.1, pp 1 - 11 | - |
dc.citation.title | ADVANCES IN DIFFERENCE EQUATIONS | - |
dc.citation.volume | 2020 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 11 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.subject.keywordPlus | INVESTMENT PROBLEM | - |
dc.subject.keywordPlus | QUADRATIC UTILITY | - |
dc.subject.keywordPlus | TIME | - |
dc.subject.keywordPlus | CONSTRAINTS | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordAuthor | Consumption constraints | - |
dc.subject.keywordAuthor | Consumption | - |
dc.subject.keywordAuthor | Investment problem | - |
dc.subject.keywordAuthor | CRRA utility | - |
dc.subject.keywordAuthor | Dynamic programming approach | - |
dc.identifier.url | https://advancesindifferenceequations.springeropen.com/articles/10.1186/s13662-020-02809-4 | - |
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