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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Veröffentlicht in:	Mathematical modelling and analysis Jg. 23; H. 4; S. 627 - 638
Hauptverfasser:	Shin, Yong Hyun, Koo, Jung Lim, Roh, Kum Hwan
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Vilnius Vilnius Gediminas Technical University 09.10.2018
Schlagworte:	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
Online-Zugang:	Volltext
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