Optimal consumption of a divisible durable good

DOI10.1016/S0165-1889(99)00003-2zbMath1031.91045MaRDI QIDQ1606182

Hong Liu, Domenico Cuoco

Publication date: 29 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

value function; investment; geometric Brownian motion; optimal consumption; optimal policy; continuous-time economy; isoelastic utility function; stochastic portfolio weights

Mathematics Subject Classification ID

91B42: Consumer behavior, demand theory

91B54: Special types of economic markets (including Cournot, Bertrand)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment and consumption with transaction costs
• Asset and commodity prices with multi-attribute durable goods
• SDEs with oblique reflection on nonsmooth domains
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Stochastic differential equations with reflecting boundary conditions
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Irreversibility and Aggregate Investment
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• On an Investment-Consumption Model with Transaction Costs
• The Interaction Between Time-Nonseparable Preferences and Time Aggregation
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Optimal Investment with Costly Reversibility
• Portfolio Selection with Transaction Costs