An optimal consumption and investment problem with quadratic utility and negative wealth constraints
Abstract In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we se...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2017-08-01
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| Series: | Journal of Inequalities and Applications |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13660-017-1469-x |
| Summary: | Abstract In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate our problem into two cases and derive the closed-form solutions for each case. We also illustrate some numerical implications of the optimal consumption and portfolio. |
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| ISSN: | 1029-242X |