[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.7858/eamj.2018.024

AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH CES UTILITY AND NEGATIVE WEALTH CONSTRAINTS

Roh, Kum-Hwan (Department of Mathematics, Hannam University)

Publication Information

East Asian mathematical journal / v.34, no.3, 2018 , pp. 331-338 More about this Journal

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.

Keywords

Negative wealth constraints; CES utility; Utility maximization; Martingale methods;

Citations & Related Records

Reference

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