Optimal consumption and portfolio selection problem with downside consumption constraints

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dc.contributor.authorShin, Yong Hyunko
dc.contributor.authorLim, Byung Hwako
dc.contributor.authorChoi, UJinko
dc.date.accessioned2013-03-07T07:15:10Z-
dc.date.available2013-03-07T07:15:10Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2007-05-
dc.identifier.citationAPPLIED MATHEMATICS AND COMPUTATION, v.188, no.2, pp.1801 - 1811-
dc.identifier.issn0096-3003-
dc.identifier.urihttp://hdl.handle.net/10203/89671-
dc.description.abstractWe study a general optimal consumption and portfolio selection problem of an infinitely-lived investor whose consumption rate process is subjected to downside constraint. That is, her consumption rate is greater than or equals to some positive constant. We obtain the general optimal policies in an explicit form using martingale method and Feynman-Kac formula. We derive some numerical results of optimal consumption and portfolio in the special case of a constant relative risk aversion (CRRA) utility function. (c) 2006 Elsevier Inc. All rights reserved.-
dc.languageEnglish-
dc.publisherElsevier Science Inc-
dc.subjectSUBSISTENCE CONSUMPTION-
dc.subjectEXPLICIT SOLUTION-
dc.subjectMODEL-
dc.titleOptimal consumption and portfolio selection problem with downside consumption constraints-
dc.typeArticle-
dc.identifier.wosid000248158900072-
dc.identifier.scopusid2-s2.0-34248175714-
dc.type.rimsART-
dc.citation.volume188-
dc.citation.issue2-
dc.citation.beginningpage1801-
dc.citation.endingpage1811-
dc.citation.publicationnameAPPLIED MATHEMATICS AND COMPUTATION-
dc.identifier.doi10.1016/j.amc.2006.11.053-
dc.contributor.localauthorChoi, UJin-
dc.contributor.nonIdAuthorShin, Yong Hyun-
dc.contributor.nonIdAuthorLim, Byung Hwa-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorconsumption-
dc.subject.keywordAuthorportfolio selection-
dc.subject.keywordAuthorutility maximization-
dc.subject.keywordAuthordownside consumption constraint-
dc.subject.keywordAuthorMartingale method-
dc.subject.keywordPlusSUBSISTENCE CONSUMPTION-
dc.subject.keywordPlusEXPLICIT SOLUTION-
dc.subject.keywordPlusMODEL-
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