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Optimal multi-period consumption and investment with short-sale constraints

✍ Scribed by Arısoy, Yakup Eser; Altay-Salih, Aslıhan; Pınar, Mustafa Ç

Book ID
122694572
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
331 KB
Volume
11
Category
Article
ISSN
1544-6123

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This paper examines the continuous time optimal consumption and portfolio choice of an investor having an initial wealth endowment and an uncertain stream of income from non-traded assets. The income stream is not spanned by traded assets and the investor is not allowed to borrow against future inco