CONSUMPTION-INVESTMENT MODELS WITH CONSTRAINTS

The paper examines a general investment and consumption problem for a single agent who consumes and invests in a riskless asset and a risky one. The objective is to maximize the total expected discounted utilit y of consumption. Trading constraints, limited borrowing, and no bankr uptcy are binding, and the optimization problem is formulated as a sto chastic control problem with state and control constraints. It is show n that the value function is the unique smooth the associated Hamilton -Jacobi-Bellman equation and the optimal consumption and portfolios ar e provided in feedback form.