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26.12.2018 | Original Paper | Ausgabe 3/2019 Open Access

Mathematics and Financial Economics 3/2019

Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs

Zeitschrift:
Mathematics and Financial Economics > Ausgabe 3/2019
Autoren:
Zhou Yang, Gechun Liang, Chao Zhou
Wichtige Hinweise
The authors thank the Editor-in-Chief, the Associate Editor, and the two referees for their valuable comments and suggestions. Yang’s work is supported by NNSF of China (Grant No. 11771158, 11801091). Zhou’s work is supported by Singapore MOE (Ministry of Education’s) AcRF Grant R-146-000-219-112 and R-146-000-255-114.

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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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