Consumption-portfolio choice with preferences for cash
DOI10.1016/J.JEDC.2018.09.006zbMATH Open1411.91367OpenAlexW2754630930WikidataQ128816181 ScholiaQ128816181MaRDI QIDQ1734595FDOQ1734595
Authors: Holger Kraft, Farina Weiss 
Publication date: 27 March 2019
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/43873/SSRN-id3034165.pdf
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recursive utilitystochastic controlconsumption-portfolio choicemoney in the utility functionstock demand
Individual preferences (91B08) Portfolio theory (91G10) Utility theory (91B16) Consumer behavior, demand theory (91B42) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic Differential Utility
- Title not available (Why is that?)
- Stochastic differential utility as the continuous-time limit of recursive utility
- Optimal consumption and investment with Epstein-Zin recursive utility
- Money and Growth: The Case of Long Run Perfect Foresight
Cited In (8)
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Demand for cash with intra-period endogenous consumption
- Macroeconomic environment, money demand and portfolio choice
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Moving costs, nondurable consumption and portfolio choice
- Real options for an entrepreneur with preferences for liquidity
- Asset prices with investor protection and past information
- Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash
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