An optimal consumption and investment problem with quadratic utility and negative wealth constraints

被引:0
作者
Kum-Hwan Roh
Ji Yeoun Kim
Yong Hyun Shin
机构
[1] Hannam University,Department of Mathematics
[2] Sookmyung Women’s University,Department of Mathematics
来源
Journal of Inequalities and Applications | / 2017卷
关键词
consumption; portfolio selection; quadratic utility; negative wealth constraints; martingale method;
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学科分类号
摘要
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.
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