Asset and commodity prices with multi-attribute durable goods

DOI10.1016/0165-1889(95)00907-8MaRDI QIDQ1351930zbMATH OpenOpenAlexFDO

Authors Christos I. Giannikos, Jérôme Detemple

Publication date 27 February 1997

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(95)00907-8

zbMATH Keywords

Interest rateAsset and commodity pricesDurablesServicesStatus attribute

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Recommendations

• Asset Prices in an Exchange Economy with Habit Formation
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Stationary Equilibrium in a Market for Durable Assets
• HABIT PERSISTENCE AND ASSET RETURNS IN AN EXCHANGE ECONOMY

Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A generalized clark representation formula, with application to optimal portfolios
• A variational problem arising in financial economics
• Adapted solution of a backward stochastic differential equation
• An Intertemporal Capital Asset Pricing Model
• An Intertemporal General Equilibrium Model of Asset Prices
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• Asset Prices in an Exchange Economy with Habit Formation
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Backward-forward stochastic differential equations
• Continuous-time security pricing. A utility gradient approach
• Dynamics under Uncertainty
• Efficient and equilibrium allocations with stochastic differential utility
• Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Optimal Consumption‐Portfolio Policies With Habit Formation¹
• Optimal Growth with Intertemporally Dependent Preferences
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• PDE solutions of stochastic differential utility
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The Consumption-Based Capital Asset Pricing Model
• The Interaction Between Time-Nonseparable Preferences and Time Aggregation
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

Cited in

(5)

• Non-addictive habits: optimal consumption-portfolio policies.
• Explicit characterizations of financial prices with history-dependent utility
• Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
• Deflation in Durable Goods Markets: An Empirical Model of the Tokyo Condominium Market
• Optimal consumption of a divisible durable good

This page was built for publication: Asset and commodity prices with multi-attribute durable goods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1351930)