OPAC (Online Public Access Catalog)
Collection Search
start it by typing one or more keywords for title, author or subject
An optimal consumption and investment problem with quadratic utility and negative wealth constraints
Kum-Hwan Roh - Personal Name
Ji Yeoun Kim - Personal Name
Yong Hyun Shin - Personal Name
In this paper, we investigate the optimal consumption and portfolio selection
problem with negative wealth constraints for an economic agent who has a
quadratic utility function of consumption and receives a constant labor income. Due
to the property of the quadratic utility function, we separate our problem into two
cases and derive the closed-form solutions for each case. We also illustrate some
numerical implications of the optimal consumption and portfolio.
problem with negative wealth constraints for an economic agent who has a
quadratic utility function of consumption and receives a constant labor income. Due
to the property of the quadratic utility function, we separate our problem into two
cases and derive the closed-form solutions for each case. We also illustrate some
numerical implications of the optimal consumption and portfolio.
No copy data
Detail Information
Series Title
-
Call Number
-
Publisher
: ,
Collation
-
Language
ISBN/ISSN
-
Classification
NONE
Detail Information
Content Type
-
Media Type
-
Carrier Type
-
Edition
-
Subject(s)
Portfolio selection
consumption
quadratic utility
negative wealth constraints
martingale method
Specific Detail Info
-
Statement of Responsibility
-
No other version available
File Attachment
