Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Zhou Yang; Gechun Liang; Chao Zhou

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arXiv · 1711.02939

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Zhou Yang·Gechun Liang·Chao Zhou

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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.

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BibTeX RIS

Zhou Yang, Gechun Liang, Chao Zhou. 2018-12-05. Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. https://arxiv.org/abs/1711.02939

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