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!
Description
Summary: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.
Bibliography: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