Optimal Consumption and Portfolio Rules with Durability and Local Substitution
DOI10.2307/2951779zbMATH Open0772.90015OpenAlexW2048556780MaRDI QIDQ5289301FDOQ5289301
Authors: Ayman Hindy, Chi-fu Huang 
Publication date: 22 August 1993
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1721.1/48630
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durable goodsfree boundary problemsoptimal consumptionportfolio choicesingular controlgeometric Brownian motion processequilibrium risk premiumperiodic consumption
Consumer behavior, demand theory (91B42) Economic growth models (91B62) Application models in control theory (93C95)
Cited In (31)
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- Intertemporal preference with loss aversion: consumption and risk-attitude
- Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- Numerical analysis of a free-boundary singular control problem in financial economics
- A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
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- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales
- A singular stochastic control problem in an unbounded domain
- On intertemporal preferences in continuous time. The case of certainty
- Dividends in the theory of derivative securities pricing
- Optimal consumption choice with intertemporal substitution
- Increasing marginal impatience and intertemporal substitution
- A stochastic representation theorem with applications to optimization and obstacle problems.
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Investing for retirement through a with-profits pension scheme: a client's perspective
- Optimal consumption of a divisible durable good
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
- A class of solvable singular stochastic control problems
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- Optimal portfolio and consumption selection with default risk
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