Optimal consumption and portfolio rules with intertemporally dependent utility of consumption

DOI10.1016/0165-1889(92)90054-IzbMath0825.90263MaRDI QIDQ1200323

Jonathan E. jun. Ingersoll

Publication date: 16 January 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Economic growth models (91B62) Consumer behavior, demand theory (91B42)

Related Items (9)

Memorable consumption ⋮ Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences ⋮ Consumption habits and humps ⋮ Bubbles and crashes in a Black-Scholes model with delay ⋮ Time-delay Hammerstein system identification using modified cross-correlation method and variable stacking length multi-error algorithm ⋮ The optimal investment, liability and dividends in insurance ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS ⋮ Solving life-cycle problems with biometric risk by artificial insurance markets ⋮ Consumption and saving with habit formation and durability.

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• On intertemporal preferences in continuous time. The case of certainty
• Risk aversion, impatience, and optimal timing decisions
• An Intertemporal General Equilibrium Model of Asset Prices
• Time to Build and Aggregate Fluctuations
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Optimal Growth with Intertemporally Dependent Preferences

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