![](/images/graphics-bg.png)
Portfolio Selection with Subsistence Consumption Constraints and CARA Utility
Joint Authors
Shin, Yong Hyun
Shim, Gyoocheol
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-16
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Shim, Gyoocheol& Shin, Yong Hyun. 2014. Portfolio Selection with Subsistence Consumption Constraints and CARA Utility. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-450084
Modern Language Association (MLA)
Shim, Gyoocheol& Shin, Yong Hyun. Portfolio Selection with Subsistence Consumption Constraints and CARA Utility. Mathematical Problems in Engineering No. 2014 (2014), pp.1-6.
https://search.emarefa.net/detail/BIM-450084
American Medical Association (AMA)
Shim, Gyoocheol& Shin, Yong Hyun. Portfolio Selection with Subsistence Consumption Constraints and CARA Utility. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-450084
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-450084