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An optimal consumption and investment problem with quadratic utility and negative wealth constraints
- Roh, Kum-Hwan;
- Kim, Ji Yeoun;
- Shin, Yong Hyun
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4초록
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.
키워드
consumption; portfolio selection; quadratic utility; negative wealth constraints; martingale method; PORTFOLIO SELECTION
- 제목
- An optimal consumption and investment problem with quadratic utility and negative wealth constraints
- 저자
- Roh, Kum-Hwan; Kim, Ji Yeoun; Shin, Yong Hyun
- 발행일
- 2017-08
- 유형
- Article
- 권
- 2017