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Optimal Consumption and Portfolio Choice with Borrowing Constraints

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  • Vila, Jean-Luc
  • Zariphopoulou, Thaleia
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    File URL: http://www.sciencedirect.com/science/article/B6WJ3-45KV127-8/2/7762e2529e2415b70b215f7e961608a9
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Theory.

    Volume (Year): 77 (1997)
    Issue (Month): 2 (December)
    Pages: 402-431

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    Handle: RePEc:eee:jetheo:v:77:y:1997:i:2:p:402-431

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    Web page: http://www.elsevier.com/locate/inca/622869

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    References

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    1. Tourin, Agnes & Zariphopoulou, Thaleia, 1994. "Numerical Schemes for Investment Models with Singular Transactions," Computational Economics, Society for Computational Economics, vol. 7(4), pages 287-307.
    2. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
    3. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    4. Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-56, November.
    5. Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
    6. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
    7. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-42, January.
    8. Darrell Duffie & Thaleia Zariphopoulou, 1993. "Optimal Investment With Undiversifiable Income Risk," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 135-148.
    9. Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-62, August.
    10. Cox, John C. & Huang, Chi-fu, 1991. "A variational problem arising in financial economics," Journal of Mathematical Economics, Elsevier, vol. 20(5), pages 465-487.
    11. Tuckman, Bruce & Vila, Jean-Luc, 1992. " Arbitrage with Holding Costs: A Utility-Based Approach," Journal of Finance, American Finance Association, vol. 47(4), pages 1283-302, September.
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    Cited by:
    1. Paul Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
    2. Grier, Kevin & Sutter, Daniel, 2007. "External influences on economic reform: Reform as a regional public good," European Journal of Political Economy, Elsevier, vol. 23(3), pages 660-673, September.
    3. Azcue, Pablo & Muler, Nora, 2009. "Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 26-34, February.
    4. Fernando Durrell, 2006. "Optimum Constrained Portfolio Rules in a Diffusion Market," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 285-307.
    5. T. Arun, 2012. "The Merton Problem with a Drawdown Constraint on Consumption," Papers 1210.5205, arXiv.org.
    6. Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
    7. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2001. "Minimization of risks in pension funding by means of contributions and portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 35-45, August.
    8. Stan Miles, 2013. "Constant-collateral pyramiding trading strategies in futures markets," Financial Markets and Portfolio Management, Springer, vol. 27(4), pages 381-396, December.

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