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An optimal consumption and investment problem with quadratic utility and negative wealth constraints

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dc.contributor.authorRoh, Kum-Hwan-
dc.contributor.authorKim, Ji Yeoun-
dc.contributor.authorShin, Yong Hyun-
dc.date.available2021-02-22T11:12:39Z-
dc.date.created2020-09-03-
dc.date.issued2017-08-
dc.identifier.issn1025-5834-
dc.identifier.urihttps://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/8223-
dc.description.abstractIn 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.language영어-
dc.language.isoen-
dc.publisherSPRINGEROPEN-
dc.titleAn optimal consumption and investment problem with quadratic utility and negative wealth constraints-
dc.typeArticle-
dc.contributor.affiliatedAuthorShin, Yong Hyun-
dc.identifier.doi10.1186/s13660-017-1469-x-
dc.identifier.scopusid2-s2.0-85027706063-
dc.identifier.wosid000407739300002-
dc.identifier.bibliographicCitationJOURNAL OF INEQUALITIES AND APPLICATIONS, v.2017-
dc.relation.isPartOfJOURNAL OF INEQUALITIES AND APPLICATIONS-
dc.citation.titleJOURNAL OF INEQUALITIES AND APPLICATIONS-
dc.citation.volume2017-
dc.type.rimsART-
dc.type.docTypeArticle-
dc.description.journalClass1-
dc.description.isOpenAccessY-
dc.description.journalRegisteredClassscie-
dc.description.journalRegisteredClassscopus-
dc.relation.journalResearchAreaMathematics-
dc.relation.journalWebOfScienceCategoryMathematics, Applied-
dc.relation.journalWebOfScienceCategoryMathematics-
dc.subject.keywordPlusPORTFOLIO SELECTION-
dc.subject.keywordAuthorconsumption-
dc.subject.keywordAuthorportfolio selection-
dc.subject.keywordAuthorquadratic utility-
dc.subject.keywordAuthornegative wealth constraints-
dc.subject.keywordAuthormartingale method-
dc.identifier.urlhttps://journalofinequalitiesandapplications.springeropen.com/articles/10.1186/s13660-017-1469-x-
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