PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH

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Published: Feb 15, 2014
DOI: https://doi.org/10.14403/jcms.2014.27.1.145
Keywords:
nonnegative wealth constraints, dynamic programming approach, CRRA utility, portfolio selection
Mathematics Subject Classification (2020):
Primary 91G10

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Yong Hyun Shin
Department of Mathematics, Sookmyung Women's University

Abstract





I consider the optimal consumption and portfolio selection problem with nonnegative wealth constraints using the dynamic programming approach. I use the constant relative risk aversion (CRRA) utility function and disutility to derive the closed-form solutions.





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Article Details

Issue
Vol. 27 No. 1 (2014)
Section
Articles