Title of article
Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
Author/Authors
Yuan، نويسنده , , Haili and Hu، نويسنده , , Yijun، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2009
Pages
5
From page
405
To page
409
Abstract
In this paper, we consider the optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints, that is, here the consumption rate is greater than or equal to some nonnegative process, and the terminal wealth is no less than some positive constant. Using the martingale approach, we get the optimal consumption and portfolio policies.
Keywords
Optimal portfolio , Consumption habit , Utility maximization , Martingale method
Journal title
Insurance Mathematics and Economics
Serial Year
2009
Journal title
Insurance Mathematics and Economics
Record number
1543878
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