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An optimal consumption and investment problem with quadratic utility and negative wealth constraints
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Roh, Kum-Hwan | - |
| dc.contributor.author | Kim, Ji Yeoun | - |
| dc.contributor.author | Shin, Yong Hyun | - |
| dc.date.available | 2021-02-22T11:12:39Z | - |
| dc.date.issued | 2017-08 | - |
| dc.identifier.issn | 1025-5834 | - |
| dc.identifier.issn | 1029-242X | - |
| dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/8223 | - |
| dc.description.abstract | In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate our problem into two cases and derive the closed-form solutions for each case. We also illustrate some numerical implications of the optimal consumption and portfolio. | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | SPRINGEROPEN | - |
| dc.title | An optimal consumption and investment problem with quadratic utility and negative wealth constraints | - |
| dc.type | Article | - |
| dc.publisher.location | 영국 | - |
| dc.identifier.doi | 10.1186/s13660-017-1469-x | - |
| dc.identifier.scopusid | 2-s2.0-85027706063 | - |
| dc.identifier.wosid | 000407739300002 | - |
| dc.identifier.bibliographicCitation | JOURNAL OF INEQUALITIES AND APPLICATIONS, v.2017 | - |
| dc.citation.title | JOURNAL OF INEQUALITIES AND APPLICATIONS | - |
| dc.citation.volume | 2017 | - |
| dc.type.docType | Article | - |
| dc.description.isOpenAccess | Y | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Mathematics | - |
| dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
| dc.relation.journalWebOfScienceCategory | Mathematics | - |
| dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
| dc.subject.keywordAuthor | consumption | - |
| dc.subject.keywordAuthor | portfolio selection | - |
| dc.subject.keywordAuthor | quadratic utility | - |
| dc.subject.keywordAuthor | negative wealth constraints | - |
| dc.subject.keywordAuthor | martingale method | - |
| dc.identifier.url | https://journalofinequalitiesandapplications.springeropen.com/articles/10.1186/s13660-017-1469-x | - |
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