کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077020 1374113 2009 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 3, December 2009, Pages 405-409
نویسندگان
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