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An optimal consumption and investment problem with quadratic utility and negative wealth constraints
In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate ou...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2017
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5557877/ https://www.ncbi.nlm.nih.gov/pubmed/28860689 http://dx.doi.org/10.1186/s13660-017-1469-x |
| Sumario: | In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate our problem into two cases and derive the closed-form solutions for each case. We also illustrate some numerical implications of the optimal consumption and portfolio. |
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