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
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
Journal title :
Insurance Mathematics and Economics