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Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints. (English) Zbl 1231.91418

Summary: We consider the optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints, that is, here the consumption rate is greater than or equal to some nonnegative process, and the terminal wealth is no less than some positive constant. Using the martingale approach, we get the optimal consumption and portfolio policies.

MSC:

91G10 Portfolio theory
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