Optimal consumption of a divisible durable good

DOI10.1016/S0165-1889(99)00003-2MaRDI QIDQ1606182zbMATH OpenFDO

Authors Domenico Cuoco, Hong Liu

Publication date 29 July 2002

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

Full work available at URL https://doi.org/10.1016/S0165-1889(99)00003-2

zbMATH Keywords

continuous-time economygeometric Brownian motioninvestmentisoelastic utility functionoptimal consumptionoptimal policystochastic portfolio weightsvalue function

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Special types of economic markets (including Cournot, Bertrand) (91B54)

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Cites work

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• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
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• Stochastic differential equations with reflecting boundary conditions
• The Interaction Between Time-Nonseparable Preferences and Time Aggregation

Cited in

(12)

• Consuming durable goods when stock markets jump: a strategic asset allocation approach
• Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
• Intertemporal preference with loss aversion: consumption and risk-attitude
• Finite horizon portfolio selection with durable goods
• scientific article; zbMATH DE number 67283 (Why is no real title available?)
• Optimal consumption, investment and insurance purchase strategies based on perishable and indivisible durable consumption good
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• scientific article; zbMATH DE number 2233610 (Why is no real title available?)
• Illiquidity, position limits, and optimal investment for mutual funds
• Optimal consumption and portfolio rules with durability and habit formation
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
• Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good

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