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NTIS 바로가기East Asian mathematical journal, v.34 no.3, 2018년, pp.331 - 338
Roh, Kum-Hwan (Department of Mathematics, Hannam University)
We investigate the optimal consumption and portfolio strategies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications....
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