Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints

In this paper, we consider the optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints, that is, here the consumption rate is greater than or equal to some nonnegative process, and the terminal wealth is no less than some positive constant. Using the martingale approach, we get the optimal consumption and portfolio policies.

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Year of publication:	2009
Authors:	Yuan, Haili ; Hu, Yijun
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 3, p. 405-409
Publisher:	Elsevier
Keywords:	Optimal portfolio Consumption habit Utility maximization Martingale method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008521289