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An Optimal Consumption and Investment Problem with Quadratic Utility and Subsistence Consumption Constraints: A Dynamic Programming Approachopen access

Authors
Shin, Yong HyunKoo, Jung LimRoh, Kum-Hwan
Issue Date
Oct-2018
Publisher
VILNIUS GEDIMINAS TECH UNIV
Keywords
portfolio selection; quadratic utility; subsistence consumption constraints; dynamic programming method
Citation
MATHEMATICAL MODELLING AND ANALYSIS, v.23, no.4, pp.627 - 638
Journal Title
MATHEMATICAL MODELLING AND ANALYSIS
Volume
23
Number
4
Start Page
627
End Page
638
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/4234
DOI
10.3846/mma.2018.038
ISSN
1392-6292
Abstract
In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficient conditions for the optimization problem to be well-defined.
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