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Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Zhou Yang, Gechun Liang () and Chao Zhou

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Abstract: This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatility. With the help of explicit solutions, we quantify the impacts of uncertain market parameters, portfolio-consumption constraints and borrowing costs on the optimal strategies and their time monotone properties.

Date: 2017-11, Revised 2018-12
New Economics Papers: this item is included in nep-upt
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