Optimal consumption and portfolio selection with lower and upper bounds on consumption

被引：0
|
作者：
Roh, Kum-Hwan [1 ]
Shin, Yong Hyun [2 ,3 ]
机构：
[1] Hannam Univ, Dept Math, Daejeon 34430, South Korea
[2] Sookmyung Womens Univ, Dept Math, Seoul 04310, South Korea
[3] Sookmyung Womens Univ, Res Inst Nat Sci, Seoul 04310, South Korea
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2020年 / 2020卷 / 01期
基金：
新加坡国家研究基金会;
关键词：
Consumption constraints; Consumption; Investment problem; CRRA utility; Dynamic programming approach; INVESTMENT PROBLEM; QUADRATIC UTILITY; TIME; CONSTRAINTS; MODEL;
D O I：
10.1186/s13662-020-02809-4
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
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收藏
页数：11
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