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Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
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Yang, Zhou, Liang, Gechun and Zhou, Chao (2019) Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Mathematics and Financial Economics, 13 (3). pp. 393-427. doi:10.1007/s11579-018-0232-5 ISSN 1862-9679.
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Official URL: http://dx.doi.org/10.1007/s11579-018-0232-5
Abstract
This paper studies the properties of the optimal portfolio-consumption strategies in a finite horizon robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatility. With the help of explicit solutions, we quantify the impacts of uncertain market parameters, portfolio-consumption constraints and borrowing costs on the optimal strategies and their time monotone properties.
Item Type: | Journal Article | |||||||||||||||
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Subjects: | H Social Sciences > HG Finance | |||||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||
Library of Congress Subject Headings (LCSH): | Portfolio management -- Mathematical models, Credit, Loans | |||||||||||||||
Journal or Publication Title: | Mathematics and Financial Economics | |||||||||||||||
Publisher: | Springer | |||||||||||||||
ISSN: | 1862-9679 | |||||||||||||||
Official Date: | June 2019 | |||||||||||||||
Dates: |
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Volume: | 13 | |||||||||||||||
Number: | 3 | |||||||||||||||
Page Range: | pp. 393-427 | |||||||||||||||
DOI: | 10.1007/s11579-018-0232-5 | |||||||||||||||
Status: | Peer Reviewed | |||||||||||||||
Publication Status: | Published | |||||||||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||
Date of first compliant deposit: | 2 January 2019 | |||||||||||||||
Date of first compliant Open Access: | 3 January 2019 | |||||||||||||||
RIOXX Funder/Project Grant: |
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