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...

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Detalles Bibliográficos
Autores principales: Roh, Kum-Hwan, Kim, Ji Yeoun, Shin, Yong Hyun
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2017
Materias:
Research
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
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author Roh, Kum-Hwan
Kim, Ji Yeoun
Shin, Yong Hyun
author_facet Roh, Kum-Hwan
Kim, Ji Yeoun
Shin, Yong Hyun
author_sort Roh, Kum-Hwan
collection PubMed
description 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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spelling pubmed-55578772017-08-29 An optimal consumption and investment problem with quadratic utility and negative wealth constraints Roh, Kum-Hwan Kim, Ji Yeoun Shin, Yong Hyun J Inequal Appl Research 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. Springer International Publishing 2017-08-15 2017 /pmc/articles/PMC5557877/ /pubmed/28860689 http://dx.doi.org/10.1186/s13660-017-1469-x Text en © The Author(s) 2017 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
spellingShingle Research
Roh, Kum-Hwan
Kim, Ji Yeoun
Shin, Yong Hyun
An optimal consumption and investment problem with quadratic utility and negative wealth constraints
title An optimal consumption and investment problem with quadratic utility and negative wealth constraints
title_full An optimal consumption and investment problem with quadratic utility and negative wealth constraints
title_fullStr An optimal consumption and investment problem with quadratic utility and negative wealth constraints
title_full_unstemmed An optimal consumption and investment problem with quadratic utility and negative wealth constraints
title_short An optimal consumption and investment problem with quadratic utility and negative wealth constraints
title_sort optimal consumption and investment problem with quadratic utility and negative wealth constraints
topic Research
url 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
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