Optimal Investment-Consumption Problem with Constraint
In this paper, we consider an optimal investment-consumption problem subject to a closed convex constraint. In the problem, a constraint is imposed on both the investment and the consumption strategy, rather than just on the investment. The existence of solution is established by using the Martingal...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/22554 |