[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14317/jami.2018.301

PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS

ROH, KUM-HWAN (Department of Mathematics, Hannam University)

Publication Information

Journal of applied mathematics & informatics / v.36, no.3_4, 2018 , pp. 301-306 More about this Journal

Abstract

I obtain the optimal portfolio and consumption strategies of an investor who have a Cobb-Douglas utility function. And I assume that there is negative wealth constraints. This constraints mean that the investor can borrow partially against her future labor income.

Keywords

Negative wealth constraints; Cobb-Douglas utility; utility maximization; martingale methods;

Citations & Related Records

Reference

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