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PORTFOLIO SELECTION WITH NONNEGATIVE WEALTH CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH

  • Received : 2014.01.08
  • Accepted : 2014.01.27
  • Published : 2014.02.15

Abstract

I consider the optimal consumption and portfolio selection problem with nonnegative wealth constraints using the dynamic programming approach. I use the constant relative risk aversion (CRRA) utility function and disutility to derive the closed-form solutions.

Keywords

References

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