| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077020 | Insurance: Mathematics and Economics | 2009 | 5 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Haili Yuan, Yijun Hu,