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arxiv: 1711.02939 · v2 · pith:4T77V4OYnew · submitted 2017-11-08 · 💱 q-fin.PM

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

classification 💱 q-fin.PM
keywords strategiesborrowingportfolio-consumptionconstraintscostsoptimalparametersproperties
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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.

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