A consumption-investment problem with constraints on minimum and maximum consumption rates

被引：4

作者：

Ma, Qinghua ^{[1
]}

Yi, Fahuai ^{[1
]}

Guan, Chonghu ^{[2
]}

机构：

[1] Guangdong Univ Foreign Studies, Dept Appl Math, Guangzhou, Guangdong, Peoples R China

[2] Jiaying Univ, Sch Math, Meizhou 514015, Guangdong, Peoples R China

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2018年 / 338卷

关键词：

Consumption-investment problem; Free boundaries; Constraints on consumption rate; Optimal strategies; LIFETIME PORTFOLIO SELECTION; MODEL;

D O I：

10.1016/j.cam.2018.02.006

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We develop famous Merton's financial model to more realistic and interesting situation: consumption rate has lower and upper constraints. The aim is to find optimal strategies for consumption and investment. The corresponding HJB equation is a fully nonlinear ordinary differential equation. We use stochastic analysis and differential equation technique to find optimal strategies. The regularity of the value function is obtained as well. The method and result are meaningful and interesting in both of finance and mathematics. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：185 / 198

页数：14

共 50 条

[21] Modeling and Analysis of the Combined Problem of Annuity Planning and Consumption-investment Selections
Li, Zhisheng
[J]. 2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS, 2009, : 256 - 260
[22] MULTIPERIOD CONSUMPTION-INVESTMENT DECISIONS - FURTHER COMMENTS
ZIEMBA, WT
[J]. AMERICAN ECONOMIC REVIEW, 1977, 67 (04): : 766 - 767
[23] Optimal consumption-investment with critical wealth level
Choi, Sungsub
Kim, Sungjun
Shim, Gyoocheol
[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 443 (02) : 913 - 925
[24] Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
Lim, Byung Hwa
Shin, Yong Hyun
Choi, U. Jin
[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2008, 345 (01) : 109 - 122
[25] Robust consumption-investment problems with random market coefficients
Ulrich Rieder
Christoph Wopperer
[J]. Mathematics and Financial Economics, 2012, 6 : 295 - 311
[26] TIME-INCONSISTENT CONSUMPTION-INVESTMENT PROBLEM FOR A MEMBER IN A DEFINED CONTRIBUTION PENSION PLAN
Zhao, Qian
Wang, Rongming
Wei, Jiaqin
[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2016, 12 (04) : 1557 - 1585
[27] Consumption-investment problem with transaction costs for L,vy-driven price processes
De Valliere, Dimitri
Kabanov, Yuri
Lepinette, Emmanuel
[J]. FINANCE AND STOCHASTICS, 2016, 20 (03) : 705 - 740
[28] A consumption-investment model with state-dependent lower bound constraint on consumption
Guan, Chonghu
Xu, Zuo Quan
Yi, Fahuai
[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2022, 516 (01)
[29] AUDITORS LOSS FUNCTIONS IMPLICIT IN CONSUMPTION-INVESTMENT MODELS
SCOTT, WR
[J]. JOURNAL OF ACCOUNTING RESEARCH, 1975, 13 : 98 - 117
[30] A Two-Period Behavioral Consumption-Investment Model
Chen, Zihan
Lou, Youcheng
Hong, Yiguang
[J]. 2018 37TH CHINESE CONTROL CONFERENCE (CCC), 2018, : 9737 - 9741

← 1 2 3 4 5 →