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Non-time additive utility optimization--the case of certainty

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  • Bank, Peter
  • Riedel, Frank

Abstract

We study the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. In particular, the case of separable power utilities with a finite time horizon is solved explicitly. --

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Bibliographic Info

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

Volume (Year): 33 (2000)
Issue (Month): 3 (April)
Pages: 271-290

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Handle: RePEc:eee:mateco:v:33:y:2000:i:3:p:271-290

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  1. Hindy, Ayman & Huang, Chi-fu & Kreps, David, 1992. "On intertemporal preferences in continuous time : The case of certainty," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 21(5), pages 401-440.
  2. Sundaresan, Suresh M, 1989. "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 2(1), pages 73-89.
  3. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 98(3), pages 519-43, June.
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Cited by:
  1. Peter Bank & Frank Riedel, 2003. "Optimal Dynamic Choice of Durable and Perishable Goods," Levine's Bibliography 666156000000000402, UCLA Department of Economics.
  2. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Gundel, Anne & Weber, Stefan, 2008. "Utility maximization under a shortfall risk constraint," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 44(11), pages 1126-1151, December.
  4. Dana, Rose-Anne & Carlier, Guillaume, 2011. "Optimal Demand for Contingent Claims when Agents have law Invariant Utilities," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/2317, Paris Dauphine University.

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