An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach

In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficient...

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Vydáno v:Mathematical modelling and analysis Ročník 23; číslo 4; s. 627 - 638
Hlavní autoři: Shin, Yong Hyun, Koo, Jung Lim, Roh, Kum Hwan
Médium: Journal Article
Jazyk:angličtina
Vydáno: Vilnius Vilnius Gediminas Technical University 09.10.2018
Témata:
Consumption
Consumption (Economics)
Dynamic programming
dynamic programming method
Economic models
Investment
Investments
Mathematical models
Methods
Optimization
portfolio selection
Quadratic equations
quadratic utility
subsistence consumption constraints
quadratic utility
subsistence consumption constraints
dynamic programming method
portfolio selection
ISSN:1392-6292, 1648-3510
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Shrnutí:In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficient conditions for the optimization problem to be well-defined.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1392-6292
1648-3510
DOI:10.3846/mma.2018.038