DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, Sungsub | - |
dc.contributor.author | Kim, Sungjun | - |
dc.contributor.author | Shim, Gyoocheol | - |
dc.date.accessioned | 2019-05-05T23:50:03Z | - |
dc.date.available | 2019-05-05T23:50:03Z | - |
dc.date.created | 2019-02-18 | - |
dc.date.issued | 2016-11 | - |
dc.identifier.issn | 0022-247X | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/98735 | - |
dc.description.abstract | We consider a consumption-investment problem in which the relevant economic conditions change, depending on whether the wealth exceeds a critical level or not. We propose a dynamic programming method to solve the problem by dividing the problem into subproblems split by wealth levels, and imposing a freeze condition at the boundaries. We then join the solutions of the subproblems so that the resulting value function is piecewise C-2. The methodology is illustrated through an application to a problem with nonnegative life insurance constraint. (C) 2016 Elsevier Inc. All rights reserved. | - |
dc.language | English | - |
dc.publisher | Academic Press | - |
dc.relation.isPartOf | Journal of Mathematical Analysis and Applications | - |
dc.title | Optimal consumption-investment with critical wealth level | - |
dc.type | Article | - |
dc.identifier.doi | 10.1016/j.jmaa.2016.04.072 | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | Journal of Mathematical Analysis and Applications, v.443, no.2, pp.913 - 925 | - |
dc.identifier.wosid | 000379282100016 | - |
dc.citation.endPage | 925 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 913 | - |
dc.citation.title | Journal of Mathematical Analysis and Applications | - |
dc.citation.volume | 443 | - |
dc.contributor.affiliatedAuthor | Choi, Sungsub | - |
dc.identifier.scopusid | 2-s2.0-84971612761 | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.isOpenAccess | N | - |
dc.type.docType | Article | - |
dc.subject.keywordPlus | SELECTION | - |
dc.subject.keywordPlus | LIFETIME | - |
dc.subject.keywordAuthor | Consumption | - |
dc.subject.keywordAuthor | Investment | - |
dc.subject.keywordAuthor | Critical wealth | - |
dc.subject.keywordAuthor | Dynamic programming method | - |
dc.subject.keywordAuthor | Nonnegative insurance premium constraint | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
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