Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
classification
💱 q-fin.PM
keywords
strategiesborrowingportfolio-consumptionconstraintscostsoptimalparametersproperties
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.