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Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales

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  • Jin, Xing
  • Deng, Shuhui
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-3SWYCBT-B/2/48de562ee206220f203b1d52bcb6914a
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 28 (1997)
    Issue (Month): 2 (September)
    Pages: 187-205

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    Handle: RePEc:eee:mateco:v:28:y:1997:i:2:p:187-205

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    Web page: http://www.elsevier.com/locate/jmateco

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    1. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-43, June.
    2. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-57, November.
    3. Eichenbaum, Martin & Hansen, Lars Peter, 1990. "Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 53-69, January.
    4. 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.
    5. Hindy, Ayman & Huang, Chi-fu, 1993. "Optimal Consumption and Portfolio Rules with Durability and Local Substitution," Econometrica, Econometric Society, vol. 61(1), pages 85-121, January.
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    Cited by:
    1. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Yang, Yunhong, 2000. "Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 135-153, March.
    3. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, vol. 31(3), pages 447-471, June.

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