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PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
- Authors
- 신용현
- Issue Date
- Feb-2014
- Publisher
- 충청수학회
- Keywords
- nonnegative wealth constraints; dynamic programming approach; CRRA utility; portfolio selection
- Citation
- 충청수학회지, v.27, no.1, pp 145 - 149
- Pages
- 5
- Journal Title
- 충청수학회지
- Volume
- 27
- Number
- 1
- Start Page
- 145
- End Page
- 149
- ISSN
- 1226-3524
2383-6245
- Abstract
- I consider the optimal consumption and portfolio se-lection problem with nonnegative wealth constraints using the dy-namic programming approach. I use the constant relative risk aver-sion (CRRA) utility function and disutility to derive the closed-formsolutions.
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