Optimal consumption and portfolio selection problem with downside consumption constraints
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Shin, Yong Hyun | ko |
| dc.contributor.author | Lim, Byung Hwa | ko |
| dc.contributor.author | Choi, UJin | ko |
| dc.date.accessioned | 2013-03-07T07:15:10Z | - |
| dc.date.available | 2013-03-07T07:15:10Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2007-05 | - |
| dc.identifier.citation | APPLIED MATHEMATICS AND COMPUTATION, v.188, no.2, pp.1801 - 1811 | - |
| dc.identifier.issn | 0096-3003 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/89671 | - |
| dc.description.abstract | We 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.language | English | - |
| dc.publisher | Elsevier Science Inc | - |
| dc.subject | SUBSISTENCE CONSUMPTION | - |
| dc.subject | EXPLICIT SOLUTION | - |
| dc.subject | MODEL | - |
| dc.title | Optimal consumption and portfolio selection problem with downside consumption constraints | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000248158900072 | - |
| dc.identifier.scopusid | 2-s2.0-34248175714 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 188 | - |
| dc.citation.issue | 2 | - |
| dc.citation.beginningpage | 1801 | - |
| dc.citation.endingpage | 1811 | - |
| dc.citation.publicationname | APPLIED MATHEMATICS AND COMPUTATION | - |
| dc.identifier.doi | 10.1016/j.amc.2006.11.053 | - |
| dc.contributor.localauthor | Choi, UJin | - |
| dc.contributor.nonIdAuthor | Shin, Yong Hyun | - |
| dc.contributor.nonIdAuthor | Lim, Byung Hwa | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | consumption | - |
| dc.subject.keywordAuthor | portfolio selection | - |
| dc.subject.keywordAuthor | utility maximization | - |
| dc.subject.keywordAuthor | downside consumption constraint | - |
| dc.subject.keywordAuthor | Martingale method | - |
| dc.subject.keywordPlus | SUBSISTENCE CONSUMPTION | - |
| dc.subject.keywordPlus | EXPLICIT SOLUTION | - |
| dc.subject.keywordPlus | MODEL | - |
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