Optimal M-V Portfolio Selection with Fixed Consumption-income Styles
Xiaojuan Liu · Mathematica Applicata · 2005
A continuous-time optimal portfolio selection problem with the fixed consumption-income is studied.Considering the separated methods,the investor's wealth is divided into two part:one keeping the fixed consumption,the other used to invest.So the initial problem is translated into an assistant problem without consumption-income flow.The conclusion of the assistant problem's optimal portfolio is that of the primary problem is proved.And the optimal strategy and the efficient frontier of the original model are obtained.The effection of the consumpiton-income on investment is analyzed.