상세 보기
Optimal consumption and portfolio selection with lower and upper bounds on consumption
- Roh, Kum-Hwan;
- Shin, Yong Hyun
Citations
WEB OF SCIENCE
0Citations
SCOPUS
4초록
We investigate the optimal consumption and investment problem with lower and upper bounds on consumption constraints. We derive closed-form solutions by means of the dynamic programming approach. We also evaluate the effects of the optimal consumption and portfolio on consumption constraints and present some numerical/economic implications. In particular, we see that the upper bound on consumption acts as a bliss level in a quadratic utility model.
키워드
Consumption constraints; Consumption; Investment problem; CRRA utility; Dynamic programming approach; INVESTMENT PROBLEM; QUADRATIC UTILITY; TIME; CONSTRAINTS; MODEL
- 제목
- Optimal consumption and portfolio selection with lower and upper bounds on consumption
- 저자
- Roh, Kum-Hwan; Shin, Yong Hyun
- 발행일
- 2020-07
- 유형
- Article
- 권
- 2020
- 호
- 1
- 페이지
- 1 ~ 11