The structure of optimal consumption streams in general incomplete markets

DOI10.1007/s11579-007-0006-yzbMath1204.91064OpenAlexW2126086793MaRDI QIDQ926391

Semyon Malamud, Eugene Trubowitz

Publication date: 27 May 2008

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/4713

zbMATH Keywords

convexityincomplete marketsidiosyncratic riskmarginal propensity to consumeoptimal consumption stream

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Consumer behavior, demand theory (91B42)

Related Items (5)

Indifference pricing for CRRA utilities ⋮ Additive habit formation: consumption in incomplete markets with random endowments ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ On an aggregate state-price deflator in a multi-period market model ⋮ Best-estimate claims reserves in incomplete markets

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