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

下载

页码：185 / 198

页数：14

共 50 条

[31] Consumption-investment optimization problem in a Levy financial model with transaction costs and ladlag strategies
Lepinette, E.
Tran, T. Q.
MATHEMATICS AND FINANCIAL ECONOMICS, 2020, 14 (03) : 399 - 431
[32] Duality in optimal consumption-investment problems with alternative data
Chen, Kexin
Wong, Hoi Ying
FINANCE AND STOCHASTICS, 2024, 28 (03) : 709 - 758
[33] Robust consumption-investment problems with random market coefficients
Rieder, Ulrich
Wopperer, Christoph
MATHEMATICS AND FINANCIAL ECONOMICS, 2012, 6 (04) : 295 - 311
[34] Solving constrained consumption-investment problems by decomposition algorithms
Pagnoncelli, Bernardo K.
Homem-de-Mello, Tito
Lagos, Guido
Castaneda, Pablo
Garcia, Javier
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2024, 319 (01) : 292 - 302
[35] Consumption-investment problem with transaction costs for Lévy-driven price processes
Dimitri De Vallière
Yuri Kabanov
Emmanuel Lépinette
Finance and Stochastics, 2016, 20 : 705 - 740
[36] Around the Life Cycle: Deterministic Consumption-Investment Strategies
Christiansen, Marcus C.
Steffensen, Mogens
NORTH AMERICAN ACTUARIAL JOURNAL, 2018, 22 (03) : 491 - 507
[37] Consumption-Investment Problems with the One-Shot Decision Theory
Li, Y.
Guo, P.
PROCEEDINGS OF THE 2013 JOINT IFSA WORLD CONGRESS AND NAFIPS ANNUAL MEETING (IFSA/NAFIPS), 2013, : 198 - 202
[38] CONSUMPTION AND INVESTMENT UNDER CONSTRAINTS
BARDHAN, I
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1994, 18 (05): : 909 - 929
[39] An Optimal Consumption and Investment Problem with Quadratic Utility and Subsistence Consumption Constraints: A Dynamic Programming Approach
Shin, Yong Hyun
Koo, Jung Lim
Roh, Kum-Hwan
MATHEMATICAL MODELLING AND ANALYSIS, 2018, 23 (04) : 627 - 638
[40] Optimal consumption-investment problems in incomplete markets with stochastic coefficients
Castañeda-Leyva, N
Hernández-Hernández, D
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2005, 44 (04) : 1322 - 1344

← 1 2 3 4 5 →