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An Optimal Consumption-Investment Model with Constraint on Consumption
【2014.12.2 10:00am, N613】

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 2014-11-21 

  Colloquia & Seminars 

  Speaker

Dr. Zuoquan Xu,Polytechnique University of Hong Kong  

  Title

An Optimal Consumption-Investment Model with Constraint on Consumption 

  Time

2014.12.2 10:00-11:00am  

  Venue

N613

  Abstract

We consider a consumption-investment model. The consumption is subject to an upper bound constraint that linearly depends on the investor's wealth. The optimal strategy is provided in a feedback form of the wealth. It is shown that an investor should use the Merton's strategy when he has a limited wealth, and consume as much as possible otherwise. This is a joint work with Yi Fahuai at the South China Normal University.  

  Affiliation

 

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