Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time

DOI10.1016/S0165-1765(96)00914-7zbMath0896.90017OpenAlexW2045595037MaRDI QIDQ1392150

William T. Smith

Publication date: 23 July 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00914-7

zbMATH Keywords

continuous-time consumption-portfolio problemfeasibility and transversality conditionsGIE preferences

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (4)

Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice ⋮ Equilibrium consumption and precautionary savings in a stochastically growing economy ⋮ Emission policy in an economic union with Poisson technological change ⋮ ABATEMENT TECHNOLOGY ADOPTION UNDER UNCERTAINTY

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio choice with non-expected utility in continuous time
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

This page was built for publication: Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time