IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/153793.html
   My bibliography  Save this article

Portfolio Selection with Subsistence Consumption Constraints and CARA Utility

Author

Listed:
  • Gyoocheol Shim
  • Yong Hyun Shin

Abstract

We consider the optimal consumption and portfolio choice problem with constant absolute risk aversion (CARA) utility and a subsistence consumption constraint. A subsistence consumption constraint means there exists a positive constant minimum level for the agent’s optimal consumption. We use the dynamic programming approach to solve the optimization problem and also give the verification theorem. We illustrate the effects of the subsistence consumption constraint on the optimal consumption and portfolio choice rules by the numerical results.

Suggested Citation

  • Gyoocheol Shim & Yong Hyun Shin, 2014. "Portfolio Selection with Subsistence Consumption Constraints and CARA Utility," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-6, April.
    • Handle: RePEc:hin:jnlmpe:153793
    DOI: 10.1155/2014/153793
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2014/153793.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2014/153793.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2014/153793?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ho-Seok Lee, 2021. "Life Insurance and Subsistence Consumption with an Exponential Utility," Mathematics, MDPI, vol. 9(4), pages 1-10, February.
    2. Wang, Hao & Siu, Tak Kuen & Hu, Shujie & Wang, Ning, 2024. "Life-cycle model with subsistence consumption constraint and state-dependent utilities," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:153793. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.