An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach

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...

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Bibliographic Details
Main Authors: Yong Hyun Shin, Jung Lim Koo, Kum Hwan Roh
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2018-10-01
Series:Mathematical Modelling and Analysis
Subjects:
portfolio selection
quadratic utility
subsistence consumption constraints
dynamic programming method
Online Access:https://journals.vgtu.lt/index.php/MMA/article/view/5441
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spelling doaj-61c31705088a4f3c9604532cf2c1e4272021-07-02T11:23:02ZengVilnius Gediminas Technical UniversityMathematical Modelling and Analysis1392-62921648-35102018-10-0123410.3846/mma.2018.038An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approachYong Hyun Shin0Jung Lim Koo1Kum Hwan Roh2Department of Mathematics & Research Institute of Natural Sciences, Sookmyung Women’s University, 04310 Seoul, Republic of KoreaSchool of Law, University of Texas at Austin, Austin, 78705 Texas, USADepartment of Mathematics, Hannam University, 34430 Daejeon, Republic of Korea 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. https://journals.vgtu.lt/index.php/MMA/article/view/5441portfolio selectionquadratic utilitysubsistence consumption constraintsdynamic programming method
collection DOAJ
language English
format Article
sources DOAJ
author Yong Hyun Shin
Jung Lim Koo
Kum Hwan Roh
spellingShingle Yong Hyun Shin
Jung Lim Koo
Kum Hwan Roh
An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
Mathematical Modelling and Analysis
portfolio selection
quadratic utility
subsistence consumption constraints
dynamic programming method
author_facet Yong Hyun Shin
Jung Lim Koo
Kum Hwan Roh
author_sort Yong Hyun Shin
title An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
title_short An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
title_full An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
title_fullStr An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
title_full_unstemmed An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
title_sort optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach
publisher Vilnius Gediminas Technical University
series Mathematical Modelling and Analysis
issn 1392-6292
1648-3510
publishDate 2018-10-01
description 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.
topic portfolio selection
quadratic utility
subsistence consumption constraints
dynamic programming method
url https://journals.vgtu.lt/index.php/MMA/article/view/5441
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