Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints

Haili Yuan and Yijun Hu

Insurance: Mathematics and Economics, 2009, vol. 45, issue 3, 405-409

Abstract: In this paper, we consider the optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints, that is, here the consumption rate is greater than or equal to some nonnegative process, and the terminal wealth is no less than some positive constant. Using the martingale approach, we get the optimal consumption and portfolio policies.

Keywords: Optimal; portfolio; Consumption; habit; Utility; maximization; Martingale; method (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:3:p:405-409

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