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...

Full description

Saved in:

Bibliographic Details
Published in:	Mathematical modelling and analysis Vol. 23; no. 4; pp. 627 - 638
Main Authors:	Shin, Yong Hyun, Koo, Jung Lim, Roh, Kum Hwan
Format:	Journal Article
Language:	English
Published:	Vilnius Vilnius Gediminas Technical University 09.10.2018
Subjects:	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 Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!