Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints

被引：13
|
作者：
Yuan, Haili [1 ]
Hu, Yijun [1 ]
机构：
[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 45卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Optimal portfolio; Consumption habit; Utility maximization; Martingale method; ASSET PRICES;
D O I：
10.1016/j.insmatheco.2009.08.012
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we consider the optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints, that is, here the consumption rate is greater than orequal to some nonnegative process, and the terminal wealth is no less than some positive constant. Using the martingale approach, we get the optimal consumption and portfolio policies. (C) 2009 Elsevier B.V. All rights reserved.
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页码：405 / 409
页数：5
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