Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good

DOI10.1016/S0165-1889(02)00135-5MaRDI QIDQ951456zbMATH OpenOpenAlexFDO

Authors Anders Damgaard, Brian Fuglsbjerg, Claus Munk

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(02)00135-5

zbMATH Keywords

durable goodsnumerical solutionoptimal consumption and investmenttransaction costsviscosity solutions

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

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Cites work

• An Intertemporal Capital Asset Pricing Model
• An Optimal Investment/Consumption Model with Borrowing
• Asset and commodity prices with multi-attribute durable goods
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Asymptotic expansions for Markov processes with Lévy generators
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Consumption-Investment Models with Constraints
• European Option Pricing with Transaction Costs
• Hedging in incomplete markets with HARA utility
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• scientific article; zbMATH DE number 1897413 (Why is no real title available?)
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optimal consumption and portfolio rules with durability and habit formation
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• Optimal consumption of a divisible durable good
• Portfolio Selection with Transaction Costs
• Stochastic differential equations. An introduction with applications.
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations

Cited in

(10)

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• Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
• Optimal consumption, investment and insurance purchase strategies based on perishable and indivisible durable consumption good
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Merton portfolio problem with one indivisible asset
• scientific article; zbMATH DE number 2233610 (Why is no real title available?)
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
• Computation of reservation prices of options with proportional transaction costs

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