East Asian mathematical journal

The Youngnam Mathematical Society (영남수학회)
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AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH CES UTILITY AND NEGATIVE WEALTH CONSTRAINTS

  • Received : 2018.05.12
  • Accepted : 2018.05.27
  • Published : 2018.05.31
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Abstract

We investigate the optimal consumption and portfolio strategies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications.

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References

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