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An Optimal Consumption and Investment Problem with Quadratic Utility and Subsistence Consumption Constraints: A Dynamic Programming Approach
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Shin, Yong Hyun | - |
| dc.contributor.author | Koo, Jung Lim | - |
| dc.contributor.author | Roh, Kum-Hwan | - |
| dc.date.available | 2021-02-22T08:45:33Z | - |
| dc.date.issued | 2018-10 | - |
| dc.identifier.issn | 1392-6292 | - |
| dc.identifier.issn | 1648-3510 | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/4234 | - |
| dc.description.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. | - |
| dc.format.extent | 12 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | VILNIUS GEDIMINAS TECH UNIV | - |
| dc.title | An Optimal Consumption and Investment Problem with Quadratic Utility and Subsistence Consumption Constraints: A Dynamic Programming Approach | - |
| dc.type | Article | - |
| dc.publisher.location | 리투아니아 | - |
| dc.identifier.doi | 10.3846/mma.2018.038 | - |
| dc.identifier.scopusid | 2-s2.0-85055265243 | - |
| dc.identifier.wosid | 000453070000008 | - |
| dc.identifier.bibliographicCitation | MATHEMATICAL MODELLING AND ANALYSIS, v.23, no.4, pp 627 - 638 | - |
| dc.citation.title | MATHEMATICAL MODELLING AND ANALYSIS | - |
| dc.citation.volume | 23 | - |
| dc.citation.number | 4 | - |
| dc.citation.startPage | 627 | - |
| dc.citation.endPage | 638 | - |
| dc.type.docType | Article | - |
| dc.description.isOpenAccess | Y | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Mathematics | - |
| dc.relation.journalWebOfScienceCategory | Mathematics | - |
| dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
| dc.subject.keywordAuthor | portfolio selection | - |
| dc.subject.keywordAuthor | quadratic utility | - |
| dc.subject.keywordAuthor | subsistence consumption constraints | - |
| dc.subject.keywordAuthor | dynamic programming method | - |
| dc.identifier.url | https://journals.vgtu.lt/index.php/MMA/article/view/5441 | - |
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