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Non-Time Additive Utility Optimization - the Case of Certainty

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Author Info
Peter Bank (Humboldt University Berlin)
Frank Riedel (Humboldt University Berlin)

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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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Publisher Info
Paper provided by EconWPA in its series GE, Growth, Math methods with number 9811002.

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Length: 18 pages
Date of creation: 27 Nov 1998
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Handle: RePEc:wpa:wuwpge:9811002

Note: Type of Document - LaTex/; prepared on IBM PC - PC-TEX; to print on HP/PostScript; pages: 18; figures: none
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Related research
Keywords: intertemporal utility; non time additive utility;

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Find related papers by JEL classification:
D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Sundaresan, Suresh M, 1989. "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(1), pages 73-89. [Downloadable!] (restricted)
  2. Hindy, Ayman & Huang, Chi-fu & Kreps, David, 1992. "On intertemporal preferences in continuous time : The case of certainty," Journal of Mathematical Economics, Elsevier, vol. 21(5), pages 401-440. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. H. Föllmer, . "Probabilistic Aspects of Financial Risk," Sonderforschungsbereich 373 2000-103, Humboldt Universitaet Berlin.
  2. Peter Bank & Frank Riedel, 2003. "Optimal Dynamic Choice of Durable and Perishable Goods," Levine's Bibliography 666156000000000402, UCLA Department of Economics. [Downloadable!]
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  3. Peter Bank & Frank Riedel, 1999. "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," GE, Growth, Math methods 9908002, EconWPA. [Downloadable!]
    Other versions:
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