학술저널
PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS:
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 27, No. 1
-
2014.02145 - 149 (5 pages)
- 4
I consider the optimal consumption and portfolio se- lection problem with nonnegative wealth constraints using the dy-namic programming approach. I use the constant relative risk aver-sion (CRRA) utility function and disutility to derive the closed-form solutions.
1. Introduction
2. The economy
3. The optimization problem
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