Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Optimal Investment-Consumption Problem with Constraint

    196200_105889_Optimal_Investment-Consumption_Problem_with_Constraint.pdf (395.3Kb)
    Access Status
    Open access
    Authors
    Liu, Jingzhen
    Yiu, Ka Fai
    Teo, Kok Lay (ah Nge)
    Date
    2013
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Liu, Jingzhen and Yiu, Ka Fai and Teo, Kok Lay. 2013. Optimal Investment-Consumption Problem with Constraint. Journal of Industrial and Management Optimization. 9 (4): pp. 743-768.
    Source Title
    Journal of Industrial and Management Optimization (JIMO)
    DOI
    10.3934/jimo.2013.9.743
    ISSN
    1553-166X
    URI
    http://hdl.handle.net/20.500.11937/22554
    Collection
    • Curtin Research Publications
    Abstract

    In this paper, we consider an optimal investment-consumption problem subject to a closed convex constraint. In the problem, a constraint is imposed on both the investment and the consumption strategy, rather than just on the investment. The existence of solution is established by using the Martingale technique and convex duality. In addition to investment, our technique embeds also the consumption into a family of fictitious markets. However, with the addition of consumption, it leads to nonreflexive dual spaces. This difficulty is overcome by employing the so-called technique of \relaxation-projection" to establish the existence of solution to the problem. Furthermore, if the solution to the dual problem is obtained, then the solution to the primal problem can be found by using the characterization of the solution. An illustrative example is given with a dynamic risk constraint to demonstrate the method.

    Related items

    Showing items related by title, author, creator and subject.

    • Optimisation of large scale network problems
      Grigoleit, Mark Ted (2008)
      The Constrained Shortest Path Problem (CSPP) consists of finding the shortest path in a graph or network that satisfies one or more resource constraints. Without these constraints, the shortest path problem can be solved ...
    • Optimal control problems with constraints on the state and control and their applications
      Li, Bin (2011)
      In this thesis, we consider several types of optimal control problems with constraints on the state and control variables. These problems have many engineering applications. Our aim is to develop efficient numerical methods ...
    • Global optimization for nonconvex optimization problems
      Ruan, Ning (2012)
      Duality is one of the most successful ideas in modern science [46] [91]. It is essential in natural phenomena, particularly, in physics and mathematics [39] [94] [96]. In this thesis, we consider the canonical duality ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.