Optimal consumption and investment problem with random horizon in a BMAP model

2015 ◽  
Vol 61 ◽  
pp. 197-205
Author(s):  
Xu Chen ◽  
Xiang-qun Yang
Keyword(s):  
Optimal Consumption ◽  
Investment Problem ◽  
Random Horizon ◽  
Optimal Consumption And Investment

scholarly journals AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH

2018 ◽  
Vol 23 (4) ◽  
pp. 627-628 ◽  
Author(s):  
Yong Hyun Shin ◽  
Jung Lim Koo ◽  
Kum Hwan Roh
Keyword(s):  
Dynamic Programming ◽  
Optimization Problem ◽  
Sufficient Conditions ◽  
Dynamic Programming Method ◽  
Programming Approach ◽  
Optimal Consumption ◽  
Dynamic Programming Approach ◽  
Investment Problem ◽  
Optimal Consumption And Investment ◽  
Consumption Constraints

In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficient conditions for the optimization problem to be well-defined.

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