Consumption-portfolio choice with preferences for cash

DOI10.1016/j.jedc.2018.09.006zbMath1411.91367OpenAlexW2754630930WikidataQ128816181 ScholiaQ128816181MaRDI QIDQ1734595

Holger Kraft, Farina Weiss

Publication date: 27 March 2019

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

Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/43873/SSRN-id3034165.pdf

zbMATH Keywords

stochastic controlrecursive utilityconsumption-portfolio choicemoney in the utility functionstock demand

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Individual preferences (91B08) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

Related Items (4)

Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility ⋮ Asset prices with investor protection and past information ⋮ Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model ⋮ Real options for an entrepreneur with preferences for liquidity

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic differential utility as the continuous-time limit of recursive utility
• Optimal consumption and investment with Epstein-Zin recursive utility
• Stochastic Differential Utility
• Money and Growth: The Case of Long Run Perfect Foresight

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