본문 바로가기
KERD
논문KCI 등재

An Optimal Consumption and Investment Problem with CES Utility and Negative Wealth Constraints

노금환
영남수학회 (Youngnam Mathematical Society)|2018.05|East Asian Mathematical Journal|제34권 제3호|pp. 331-338|DOI http://dx.doi.org/10.7858/eamj.2018.0024

0

조회

0

다운로드

0

인용

0

참고문헌

키워드

Negative wealth constraintsCES utilityUtility maximization
주제분류수학

초록

We investigate the optimal consumption and portfolio strate- gies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications.

Abstract

We investigate the optimal consumption and portfolio strate- gies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications.

참고문헌 (13)

  1. K.J. Choi, "Optimal Portfolio, Consumption-Leisure and Retirement Choice Problem with CES Utility", Mathematical Finance, 18(3), pp.445~472 (2008)[DOI]
  2. J.C. Cox, "Optimum Consumption and Portfolio Policies When Asset Prices Follow a Diffusion Process", Journal of Economic Theory, 49(1), pp.33~83 (1989)[DOI]
  3. P.H. Dybvig, "Lifetime Consumption and Investment: Retirement and Constrained Borrowing", Journal of Economic Theory, 145(3), pp.885~907 (2010)[DOI]
  4. E. Farhi, "Saving and Investing for Early Retirement: A Theoretical Analysis", Journal of Financial Economics, 83(1), pp.87~121 (2007)[DOI]
  5. H. He, "Labor Income, Borrowing Constraints, and Equilibrium Asset Prices", Economic Theory, 3(4), pp.663~696 (1993)[DOI]
  6. I. Karatzas, "Explicit Solution of a General Consumption", Investment Problem, 1986, pp.11(2), 261~294
  7. I. Karatzas, "Optimal Portfolio and Consumption Decisions for a "Small Investor" on a Finite Horizon", SIAM Journal on Control and Optimization, 25(6), pp.1557~1586 (1987)[DOI]
  8. H.-S. Lee, "An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach", Journal of Inequalities and Applications, 319, pp.13~ (2015)
  9. B.H. Lim, "Optimal Investment, Consumption and Retirement Decision with Disutility and Borrowing Constraints", Quantitative Finance, 11, pp.1581~1592 (2011)[DOI]
  10. R.C. Merton, "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case", Review of Economics and Statistics, 51(3), pp.247~257 (1969)[DOI]
  11. R.C. Merton, "Optimum Consumption and Portfolio Rules in a Continuous-Time Model", Journal of Economic Theory, 3(4), pp.373~413 (1971)[DOI]
  12. K. Park, "An Optimal Consumption, Leisure, and Investment Problem with an Option to Retire and Negative Wealth Constraints", Chaos, Solitons and Fractals, 103, pp.374~381 (2017)[DOI]
  13. S. Park, "Optimal retirement strategy with a negative wealth constraint", Operations Research Letters, 42, pp.208~212 (2014)[DOI]

관련 논문AI추천

Debtor's Bankruptcy and Upper Bound on Consumption이호석, 임병화영남수학회 · East Asian Mathematical Journal2020 · 제36권 제1호A convergence of optimal investment strategies for the HARA utility functions김재희영남수학회 · East Asian Mathematical Journal2015 · 제31권 제1호On stochastic optimal reinsurance and investment strategies for the surplus under the CEV model김재희, Eun Ju Jung영남수학회 · East Asian Mathematical Journal2011 · 제27권 제1호Robust portfolio optimization under hybrid CEV and stochastic volatilityBeidi Peng, Jiling Cao, Wenjun Zhang대한수학회 · 대한수학회지2022 · 제59권 제6호Asymptotic Analysis for Portfolio Optimization Problem under Two-Factor Heston’s Stochastic Volatility Model김재희, Sotheara Veng영남수학회 · East Asian Mathematical Journal2018 · 제34권 제1호Optimal Annuitization with Early Retirement: A Martingale-Dual Approach박세영, 전준기한국리스크관리학회 · 리스크관리연구2022 · 제33권 제2호

이 간행물의 다른 논문 (7건)

An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms김소연, 윤지훈pp. 239-248Certain Gronwall type inequalities associated with Riemann-Liouville $k$- and Hadamard $k$-fractional derivatives and their applicationsMuhammad Arshad, 최준상, Kottakkaran Sooppy Nisar, Shahid Mubeen, Gauhar Rahmanpp. 249-263Iterative Algorithms for a System of Random Nonlinear Equations with Fuzzy MappingsSalahuddin, 김종규pp. 265-285The Averaging Value of a Sampling of the Riemann Zeta Function on the Critical Line Using Poisson Distribution조시훈pp. 287-293Application of Product of the Multivariable $A$-Function and the Multivariable Srivastava's Polynomials최준상, Dinesh Kumar, Fre ́de ́ric Ayantpp. 295-303
원문 보기