Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee

Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee

We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the wealth pr...

Full description

Bibliographic Details
Main Author: Morten Tolver Kronborg
Format: Article
Language:English
Published: MDPI AG 2014-05-01
Series:Risks
Subjects:
stochastic control
martingale method
option-based portfolio insurance
American put option
human capital
borrowing constraint
CRRA utility
Online Access:http://www.mdpi.com/2227-9091/2/2/171

Internet

http://www.mdpi.com/2227-9091/2/2/171

Similar Items