Portfolio Selection with Subsistence Consumption Constraints and CARA Utility
We consider the optimal consumption and portfolio choice problem with constant absolute risk aversion (CARA) utility and a subsistence consumption constraint. A subsistence consumption constraint means there exists a positive constant minimum level for the agent’s optimal consumption. We use the dyn...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2014-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2014/153793 |
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doaj-9cfcd58b26fb427aa745072e127d38e52020-11-24T20:59:07ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472014-01-01201410.1155/2014/153793153793Portfolio Selection with Subsistence Consumption Constraints and CARA UtilityGyoocheol Shim0Yong Hyun Shin1Department of Financial Engineering, Ajou University, Suwon 443-749, Republic of KoreaDepartment of Mathematics, Sookmyung Women’s University, Seoul 140-742, Republic of KoreaWe consider the optimal consumption and portfolio choice problem with constant absolute risk aversion (CARA) utility and a subsistence consumption constraint. A subsistence consumption constraint means there exists a positive constant minimum level for the agent’s optimal consumption. We use the dynamic programming approach to solve the optimization problem and also give the verification theorem. We illustrate the effects of the subsistence consumption constraint on the optimal consumption and portfolio choice rules by the numerical results.http://dx.doi.org/10.1155/2014/153793 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Gyoocheol Shim Yong Hyun Shin |
| spellingShingle |
Gyoocheol Shim Yong Hyun Shin Portfolio Selection with Subsistence Consumption Constraints and CARA Utility Mathematical Problems in Engineering |
| author_facet |
Gyoocheol Shim Yong Hyun Shin |
| author_sort |
Gyoocheol Shim |
| title |
Portfolio Selection with Subsistence Consumption Constraints and CARA Utility |
| title_short |
Portfolio Selection with Subsistence Consumption Constraints and CARA Utility |
| title_full |
Portfolio Selection with Subsistence Consumption Constraints and CARA Utility |
| title_fullStr |
Portfolio Selection with Subsistence Consumption Constraints and CARA Utility |
| title_full_unstemmed |
Portfolio Selection with Subsistence Consumption Constraints and CARA Utility |
| title_sort |
portfolio selection with subsistence consumption constraints and cara utility |
| publisher |
Hindawi Limited |
| series |
Mathematical Problems in Engineering |
| issn |
1024-123X 1563-5147 |
| publishDate |
2014-01-01 |
| description |
We consider the optimal consumption and portfolio choice problem with constant absolute risk aversion (CARA) utility and a subsistence consumption constraint. A subsistence consumption constraint means there exists a positive constant minimum level for the agent’s optimal consumption. We use the dynamic programming approach to solve the optimization problem and also give the verification theorem. We illustrate the effects of the subsistence consumption constraint on the optimal consumption and portfolio choice rules by the numerical results. |
| url |
http://dx.doi.org/10.1155/2014/153793 |
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AT gyoocheolshim portfolioselectionwithsubsistenceconsumptionconstraintsandcarautility AT yonghyunshin portfolioselectionwithsubsistenceconsumptionconstraintsandcarautility |
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