scholarly journals An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: A dynamic programming approach

2015 ◽  
Vol 428 (2) ◽  
pp. 762-771 ◽  
Author(s):  
Ho-Seok Lee ◽  
Yong Hyun Shin
Keyword(s):  
Dynamic Programming ◽  
Programming Approach ◽  
Optimal Consumption ◽  
Choice Problem ◽  
Dynamic Programming Approach ◽  
Consumption Constraints

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.

scholarly journals Portfolio Selection with Subsistence Consumption Constraints and CARA Utility

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Gyoocheol Shim ◽  
Yong Hyun Shin
Keyword(s):  
Portfolio Choice ◽  
Optimization Problem ◽  
Absolute Risk ◽  
Programming Approach ◽  
Optimal Consumption ◽  
Choice Problem ◽  
Dynamic Programming Approach ◽  
Cara Utility ◽  
Constant Absolute Risk Aversion ◽  
Consumption Constraints

We consider the optimal consumption and portfolio choice problem with constant absolute risk aversion (CARA) utility and a subsistence consumption constraint. A subsistence consumption constraint means there exists a positive constant minimum level for the agent’s optimal consumption. We use the dynamic programming approach to solve the optimization problem and also give the verification theorem. We illustrate the effects of the subsistence consumption constraint on the optimal consumption and portfolio choice rules by the numerical results.

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