Consumption-portfolio choice with preferences for cash

DOI10.1016/J.JEDC.2018.09.006MaRDI QIDQ1734595zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

consumption-portfolio choicemoney in the utility functionrecursive utilitystochastic controlstock demand

Mathematics Subject Classification ID

Individual preferences (91B08) Utility theory (91B16) Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Money and Growth: The Case of Long Run Perfect Foresight
• Optimal consumption and investment with Epstein-Zin recursive utility
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic Differential Utility
• Stochastic differential utility as the continuous-time limit of recursive utility

Cited in

(13)

• Macroeconomic environment, money demand and portfolio choice
• Demand for cash with intra-period endogenous consumption
• Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
• Real options for an entrepreneur with preferences for liquidity
• Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
• Moving costs, nondurable consumption and portfolio choice
• Asset prices with investor protection and past information
• Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash
• Life-cycle planning model with inflation and time-varying consumption constraints
• Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
• Robust optimal investment and benefit adjustment strategy for target benefit pension plan with ambiguity in stochastic environments
• Optimal investment-benefit allocation for a collective defined contribution plan with guaranteed replacement ratio
• Preference revelation when investment is time-dependent

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