An optimal consumption and investment problem with quadratic utility and negative wealth constraints

An optimal consumption and investment problem with quadratic utility and negative wealth constraints In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due to the property of the quadratic utility function, we separate our problem into two cases and derive the closed-form solutions for each case. We also illustrate some numerical implications of the optimal consumption and portfolio. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Inequalities and Applications Springer Journals

An optimal consumption and investment problem with quadratic utility and negative wealth constraints

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Publisher
Springer International Publishing
Copyright
Copyright © 2017 by The Author(s)
Subject
Mathematics; Analysis; Applications of Mathematics; Mathematics, general
eISSN
1029-242X
D.O.I.
10.1186/s13660-017-1469-x
Publisher site
See Article on Publisher Site

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