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http://dx.doi.org/10.14403/jcms.2014.27.1.145

PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH  

Shin, Yong Hyun (Department of Mathematics Sookmyung Women's University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.27, no.1, 2014 , pp. 145-149 More about this Journal
Abstract
I consider the optimal consumption and portfolio selection problem with nonnegative wealth constraints using the dynamic programming approach. I use the constant relative risk aversion (CRRA) utility function and disutility to derive the closed-form solutions.
Keywords
nonnegative wealth constraints; dynamic programming approach; CRRA utility; portfolio selection;
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