English

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Portfolio Management 2018-12-06 v2

Abstract

This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both investment and consumption strategies, and model uncertainty on both drift and volatility. With the help of explicit solutions, we quantify the impacts of uncertain market parameters, portfolio-consumption constraints and borrowing costs on the optimal strategies and their time monotone properties.

Keywords

Cite

@article{arxiv.1711.02939,
  title  = {Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs},
  author = {Zhou Yang and Gechun Liang and Chao Zhou},
  journal= {arXiv preprint arXiv:1711.02939},
  year   = {2018}
}

Comments

35 pages, 8 tables, 1 figure