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An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach

    Yong Hyun Shin Affiliation
    ; Jung Lim Koo Affiliation
    ; Kum Hwan Roh Affiliation

Abstract

In this paper, we analyze the optimal consumption and investment problem of an agent who has a quadratic-type utility function and faces a subsistence consumption constraint. We use the dynamic programming method to solve the optimization problem in continuous-time. We further provide the sufficient conditions for the optimization problem to be well-defined.

Keyword : portfolio selection, quadratic utility, subsistence consumption constraints, dynamic programming method

How to Cite
Shin, Y. H., Koo, J. L., & Roh, K. H. (2018). An optimal consumption and investment problem with quadratic utility and subsistence consumption constraints: a dynamic programming approach. Mathematical Modelling and Analysis, 23(4), 627-638. https://doi.org/10.3846/mma.2018.038
Published in Issue
Oct 9, 2018
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