Portfolio Selection with Subsistence Consumption Constraints and CARA Utility
2014 ◽
Vol 2014
◽
pp. 1-6
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Keyword(s):
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.
2018 ◽
Vol 23
(4)
◽
pp. 627-628
◽
2015 ◽
Vol 428
(2)
◽
pp. 762-771
◽
2018 ◽
Vol 47
(4)
◽
pp. 509-519
2017 ◽
Vol 34
(3)
◽
pp. 793-809
2021 ◽
2015 ◽
Vol 2015
(1)
◽