Comparison of optimal portfolios with and without subsistence consumption constraints

Shin, Yong Hyun; Lim, Byung Hwa

doi:10.1016/j.na.2010.08.014

Cited by 6 publications

(3 citation statements)

References 14 publications

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“…That is, * ( ) = ( ). Consequently the candidate consumption and portfolio in Theorem 3 are the optimal policies of problem (9).…”

Section: The Optimization Problemmentioning

confidence: 98%

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Portfolio Selection with Subsistence Consumption Constraints and CARA Utility

Shim¹,

Shin

2014

Mathematical Problems in Engineering

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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.

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“…That is, * ( ) = ( ). Consequently the candidate consumption and portfolio in Theorem 3 are the optimal policies of problem (9).…”

Section: The Optimization Problemmentioning

confidence: 98%

“…Lim et al [8] have considered a similar portfolio optimization problem combined with the voluntary retirement choice problem. Shin and Lim [9] have analyzed the effects of the subsistence consumption constraint for behavior of investment in the risky asset.…”

Section: Introductionmentioning

confidence: 99%

Portfolio Selection with Subsistence Consumption Constraints and CARA Utility

Shim¹,

Shin

2014

Mathematical Problems in Engineering

Self Cite

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show abstract

“…The existence of a subsistence consumption constraint has a significant impact on the agent's optimal consumption and investment policies, especially when the constraints are binding. Cox and Huang [2], Gong and Li [4], Huang and Pagès [6], Koo et al [8], Lakner and Nygren [9], Lee and Shin [10], Lim et al [11], Shim and Shin [15], Shin and Lim [16], Shin et al [17], and Yuan and Hu [18] have studied optimal consumption and portfolio selection problems with subsistence consumption constraints.…”

Section: Introductionmentioning

confidence: 99%