Optimal Lifetime Consumption-Portfolio Strategies Under Trading Constraints and Recursive Preferences
Preprint
- 1 January 2002
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
We consider the lifetime consumption-portfolio problem in a competitive securities market with essentially arbitrary continuous price dynamics, and convex tradiKeywords
This publication has 36 references indexed in Scilit:
- A Smooth Model of Decision Making under AmbiguitySSRN Electronic Journal, 2003
- An Isomorphism Between Asset Pricing Models With and Without Linear Habit FormationThe Review of Financial Studies, 2002
- Consumption and Asset Prices with Recursive PreferencesSSRN Electronic Journal, 1998
- A term structure model with preferences for the timing of resolution of uncertaintyEconomic Theory, 1997
- Dynamic Nonmyopic Portfolio BehaviorThe Review of Financial Studies, 1996
- Solving forward-backward stochastic differential equations explicitly — a four step schemeProbability Theory and Related Fields, 1994
- Continuous-time security pricingJournal of Mathematical Economics, 1994
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- Asset Pricing with Stochastic Differential UtilityThe Review of Financial Studies, 1992
- Risk, Ambiguity, and the Savage AxiomsThe Quarterly Journal of Economics, 1961