Optimal Consumption and Portfolio Rules with Durability and Local Substitution
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Publication:5289301
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Cited in
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- A stochastic representation theorem with applications to optimization and obstacle problems.
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- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
- Consumption-portfolio choice with preferences for cash
- On equilibrium prices in continuous time
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- Increasing marginal impatience and intertemporal substitution
- Entrance times of random walks: with applications to pension fund modeling
- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- Optimal portfolio choice and consistent performance
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Optimal consumption and portfolio rules with durability and habit formation
- Finite horizon portfolio selection with durable goods
- A class of solvable singular stochastic control problems
- Numerical analysis of a free-boundary singular control problem in financial economics
- Optimal portfolio and consumption selection with default risk
- A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption
- Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales
- Investing for retirement through a with-profits pension scheme: a client's perspective
- Memorable consumption
- A singular stochastic control problem in an unbounded domain
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
- Asset and commodity prices with multi-attribute durable goods
- Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
- On intertemporal preferences in continuous time. The case of certainty
- On Merton’s Problem for Life Insurers
- Dividends in the theory of derivative securities pricing
- On the Optimal Management of Public Debt: a Singular Stochastic Control Problem
- State-Dependent Utility
- Optimal consumption choice with intertemporal substitution
- Ratchet consumption over finite and infinite planning horizons
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