Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

DOI10.2307/2938333zbMath0728.90010OpenAlexW2117338258WikidataQ29999559 ScholiaQ29999559MaRDI QIDQ3352793

Guy Laroque, Sanford J. Grossman

Publication date: 1990

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w2369.pdf

zbMATH Keywords

asset pricingliquiditydurable goodsrisk premiumtransactions costspermanent income hypothesisoptimal consumption and portfolio selection

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20) Portfolio theory (91G10)

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