Academy
of Mathematics and Systems Science, CAS
Colloquia & Seminars
Speaker:
Dr. Zuoquan Xu,Polytechnique University of Hong Kong
Inviter:
Jiaan Yan
Title:
An Optimal Consumption-Investment
Model with Constraint on Consumption
Time
& Venue:
2014.12.2 10:00-11:00am
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:
Appendix：
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