An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficien...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2018-10-01
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| Series: | Mathematical Modelling and Analysis |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/MMA/article/view/5441 |
| Summary: | In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficient conditions for the optimization problem to be well-defined.
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| ISSN: | 1392-6292 1648-3510 |