PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS

被引：0
|
作者：
Roh, Kum-Hwan [1 ]
机构：
[1] Hannam Univ, Dept Math, Daejeon 34430, South Korea
来源：
JOURNAL OF APPLIED MATHEMATICS & INFORMATICS | 2018年 / 36卷 / 3-4期
关键词：
Negative wealth constraints; Cobb-Douglas utility; utility maximization; martingale methods;
D O I：
10.14317/jami.2018.301
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
I obtain the optimal portfolio and consumption strategies of an investor who have a Cobb-Douglas utility function. And I assume that there is negative wealth constraints. This constraints mean that the investor can borrow partially against her future labor income.
引用
收藏
页码：301 / 306
页数：6
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