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...
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2017-08-01
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| Series: | Journal of Inequalities and Applications |
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| Online Access: | http://link.springer.com/article/10.1186/s13660-017-1469-x |
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doaj-c3a046ab22f84b578aa53270d6e577a82020-11-24T22:01:42ZengSpringerOpenJournal of Inequalities and Applications1029-242X2017-08-012017111010.1186/s13660-017-1469-xAn optimal consumption and investment problem with quadratic utility and negative wealth constraintsKum-Hwan Roh0Ji Yeoun Kim1Yong Hyun Shin2Department of Mathematics, Hannam UniversityDepartment of Mathematics, Sookmyung Women’s UniversityDepartment of Mathematics, Sookmyung Women’s UniversityAbstract 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.http://link.springer.com/article/10.1186/s13660-017-1469-xconsumptionportfolio selectionquadratic utilitynegative wealth constraintsmartingale method |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Kum-Hwan Roh Ji Yeoun Kim Yong Hyun Shin |
| spellingShingle |
Kum-Hwan Roh Ji Yeoun Kim Yong Hyun Shin An optimal consumption and investment problem with quadratic utility and negative wealth constraints Journal of Inequalities and Applications consumption portfolio selection quadratic utility negative wealth constraints martingale method |
| author_facet |
Kum-Hwan Roh Ji Yeoun Kim Yong Hyun Shin |
| author_sort |
Kum-Hwan Roh |
| title |
An optimal consumption and investment problem with quadratic utility and negative wealth constraints |
| title_short |
An optimal consumption and investment problem with quadratic utility and negative wealth constraints |
| title_full |
An optimal consumption and investment problem with quadratic utility and negative wealth constraints |
| title_fullStr |
An optimal consumption and investment problem with quadratic utility and negative wealth constraints |
| title_full_unstemmed |
An optimal consumption and investment problem with quadratic utility and negative wealth constraints |
| title_sort |
optimal consumption and investment problem with quadratic utility and negative wealth constraints |
| publisher |
SpringerOpen |
| series |
Journal of Inequalities and Applications |
| issn |
1029-242X |
| publishDate |
2017-08-01 |
| description |
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. |
| topic |
consumption portfolio selection quadratic utility negative wealth constraints martingale method |
| url |
http://link.springer.com/article/10.1186/s13660-017-1469-x |
| work_keys_str_mv |
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