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An Optimal Consumption and Investment Problem with Quadratic Utility and Subsistence Consumption Constraints: A Dynamic Programming Approach
- Shin, Yong Hyun;
- Koo, Jung Lim;
- Roh, Kum-Hwan
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6초록
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.
키워드
portfolio selection; quadratic utility; subsistence consumption constraints; dynamic programming method; PORTFOLIO SELECTION
- 제목
- An Optimal Consumption and Investment Problem with Quadratic Utility and Subsistence Consumption Constraints: A Dynamic Programming Approach
- 저자
- Shin, Yong Hyun; Koo, Jung Lim; Roh, Kum-Hwan
- 발행일
- 2018-10
- 유형
- Article
- 권
- 23
- 호
- 4
- 페이지
- 627 ~ 638