Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility-Reference-Cited by-同舟云学术

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Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility

Published:2018-12 Issue:4 Volume:47 Page:509-519
ISSN:1226-3192
Container-title:Journal of the Korean Statistical Society
language:en
Short-container-title:Journal of the Korean Statistical Society

Author:

Kim Ji Yeoun,Shin Yong Hyun^ORCID

Funder

Sookmyung Women’s University Research

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Reference13 articles.

1. Bellman, R. (1954). The Theory of Dynamic Programming, mimeo, Rand Corporation.

2. Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption;Gong;Applied Mathematics and Computation,2006

3. Explicit solution of a general consumption/investment problem;Karatzas;Mathematics of Operations Research,1986

4. Portfolio optimization with downside constraints;Lakner;Mathematical Finance,2006

5. Lifetime portfolio selection under uncertainty: The continuous-time case;Merton;Review of Economics and Statistics,1969

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Life Insurance and Subsistence Consumption with an Exponential Utility;Mathematics;2021-02-11

2. CARA UTILITY AND OPTIMAL RETIREMENT;J APPL MATH INFORM;2021

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