英文标题：
《Constrained portfolio-consumption strategies with uncertain parameters
  and borrowing costs》
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作者：
Zhou Yang, Gechun Liang, Chao Zhou
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最新提交年份：
2018
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英文摘要：
  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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中文摘要：
在{有限时域}鲁棒效用最大化框架下，研究了不同借贷利率下最优投资组合消费策略的性质。特别是，我们考虑了投资和消费策略的约束，以及漂移和波动的模型不确定性。借助于显式解，我们量化了不确定市场参数、投资组合消费约束和借贷成本对最优策略及其时间单调性的影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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