Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Koo, Jung Lim | - |
dc.contributor.author | Ahn, Se Ryoong | - |
dc.contributor.author | Koo, Byung Lim | - |
dc.contributor.author | Koo, Hyeng Keun | - |
dc.contributor.author | Shin, Yong Hyun | - |
dc.date.available | 2021-02-22T11:30:14Z | - |
dc.date.issued | 2016-01 | - |
dc.identifier.issn | 0736-2994 | - |
dc.identifier.issn | 1532-9356 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/9976 | - |
dc.description.abstract | In this article, we analyze the optimal consumption and investment policy of an agent who has a quadratic felicity function and faces a subsistence consumption constraint. The agent's optimal investment in the risky asset increases linearly for low wealth levels. Risk taking continues to increase at a decreasing rate for wealth levels higher than subsistence wealth until it hits a maximum at a certain wealth level, and declines for wealth levels above this threshold. Further, the agent has a bliss level of consumption, since if an agent consumes more than this level she will suffer utility loss. Eventually her risk taking becomes zero at a wealth level which supports her bliss consumption. | - |
dc.format.extent | 13 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | TAYLOR & FRANCIS INC | - |
dc.title | Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint | - |
dc.type | Article | - |
dc.publisher.location | 미국 | - |
dc.identifier.doi | 10.1080/07362994.2015.1112748 | - |
dc.identifier.scopusid | 2-s2.0-84951869021 | - |
dc.identifier.wosid | 000367068900012 | - |
dc.identifier.bibliographicCitation | STOCHASTIC ANALYSIS AND APPLICATIONS, v.34, no.1, pp 165 - 177 | - |
dc.citation.title | STOCHASTIC ANALYSIS AND APPLICATIONS | - |
dc.citation.volume | 34 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 165 | - |
dc.citation.endPage | 177 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordAuthor | Portfolio selection | - |
dc.subject.keywordAuthor | quadratic utility | - |
dc.subject.keywordAuthor | subsistence consumption constraint | - |
dc.subject.keywordAuthor | martingale method | - |
dc.subject.keywordAuthor | 91G10 | - |
dc.subject.keywordAuthor | 91G80 | - |
dc.identifier.url | https://www.tandfonline.com/doi/full/10.1080/07362994.2015.1112748 | - |
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