2007
DOI: 10.1016/j.amc.2006.11.053
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Optimal consumption and portfolio selection problem with downside consumption constraints

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Cited by 23 publications
(10 citation statements)
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“…Gong and Li [8] studied the role of index bonds in an optimal consumption-portfolio selection problem with positive subsistence consumption using a dynamic programming method. Shin et al [19] solved an optimal consumption-portfolio selection problem for the general utility function with positive subsistence consumption constraints using a martingale method in an infinite horizon.…”
Section: Introductionmentioning
confidence: 99%
“…Gong and Li [8] studied the role of index bonds in an optimal consumption-portfolio selection problem with positive subsistence consumption using a dynamic programming method. Shin et al [19] solved an optimal consumption-portfolio selection problem for the general utility function with positive subsistence consumption constraints using a martingale method in an infinite horizon.…”
Section: Introductionmentioning
confidence: 99%
“…Remark 6. Following Shin et al [5] we can use the martingale method to derive a similar solution with CARA utility. We will give (rough) sketch of the derivation.…”
Section: The Optimization Problemmentioning
confidence: 99%
“…Gong and Li [4] have investigated the role of index bonds in the optimal consumption and portfolio selection problem with constant relative risk aversion (CRRA) utility and a real subsistence consumption constraint using the dynamic programming approach. Shin et al [5] have also considered a similar problem to that of Gong and Li [4]. They have studied the portfolio selection problem with a general utility function and a downside consumption constraint using the martingale approach.…”
Section: Introductionmentioning
confidence: 99%
“…This constraint is defined as the inequality that an agent's consumption rate should be greater than or equal to a certain positive constant. In [4][5][6][7][8], they solved the portfolio optimization problem with subsistence constraints. There are also many types of portfolio constraints but we do not mention these constraints because we only have our attention on consumption constraints, especially, the subsistence constraints.…”
Section: Introductionmentioning
confidence: 99%