Optimal consumption and savings with stochastic income and recursive utility
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Cites work
- An income fluctuation problem
- Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis
- Consumption Over the Life Cycle
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Income Variance Dynamics and Heterogeneity
- On the Concavity of the Consumption Function
- Optimum consumption and portfolio rules in a continuous-time model
- Robust Permanent Income and Pricing
- Self-insurance vs. self-financing: a welfare analysis of the persistence of shocks
- Stochastic Differential Utility
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- The pricing of options and corporate liabilities
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- Wealth Inequality and Intergenerational Links
Cited in
(30)- Optimal saving under Poisson uncertainty
- Recursive utility and optimal capital accumulation. II: Sensitivity and duality theory
- Saving behavior in stationary equilibrium with random discounting
- Optimal consumption when capital markets are imperfect
- The effect of interest rates on consumption in an income fluctuation problem
- Household lifetime strategies under a self-contagious market
- Real options for an entrepreneur with preferences for liquidity
- Investment decisions under incomplete markets in the presence of wealth effects
- Ignorance, pervasive uncertainty, and household finance
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Optimal long-term contracts with disability insurance under limited commitment
- Optimal consumption with time-inconsistent preferences
- Optimal retirement with borrowing constraints and forced unemployment risk
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- Optimal consumption and investment with insurer default risk
- Buffer-stock saving in a Krusell-Smith world
- Duality for optimal consumption with randomly terminating income
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
- Optimal asset allocation for commodity sovereign wealth funds
- Disaster learning and aggregate investment
- Optimal recursive utility maximization with debt-to-income limits
- Real investment decision under CRRA utility: the flow payoff case
- Income disaster model with optimal consumption
- Consumption dynamics and welfare under non-Gaussian earnings risk
- Optimal early retirement with target wealth
- Optimal consumption and investment in an incomplete market with hedgeable stochastic income
- Preference revelation when investment is time-dependent
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
- A foundation for the solution of consumption-saving behavior with a borrowing constraint and unbounded marginal utility
- Equilibrium consumption and precautionary savings in a stochastically growing economy
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