ﻻ يوجد ملخص باللغة العربية
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linearly depends on the investors wealth and bankruptcy is prohibited. The investors objective is to maximize total expected discounted utility of consumption over an infinite trading horizon. It is shown that the value function is (second order) smooth everywhere but a unique possibility of (known) exception point and the optimal consumption-investment strategy is provided in a closed feedback form of wealth, which in contrast to the existing work does not involve the value function. According to this model, an investor should take the same optimal investment strategy as in Mertons model regardless his financial situation. By contrast, the optimal consumption strategy does depend on the investors financial situation: he should use a similar consumption strategy as in Mertons model when he is in a bad situation, and consume as much as possible when he is in a good situation.
This paper considers a life-time consumption-investment problem under the Black-Scholes framework, where the investors consumption rate is subject to a lower bound constraint that linearly depends on the investors wealth. Due to the state-dependent c
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optima
We extend the result of our earlier study [Angoshtari, Bayraktar, and Young; Optimal consumption under a habit-formation constraint, available at: arXiv:2012.02277, (2020)] to a market setup that includes a risky asset whose price process is a geomet
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs
This paper solves the optimal investment and consumption strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with model uncertainty. The market incompleteness arises from investment constraints of the agent, whil