Non-time additive utility optimization: The case of certainty
AbstractWe 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 InfoPaper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1998,108.
Date of creation: 1998
Date of revision:
non-time additive utility optimization; intertemporal utility;
Other versions of this item:
- Bank, Peter & Riedel, Frank, 2000. "Non-time additive utility optimization--the case of certainty," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 271-290, April.
- Peter Bank & Frank Riedel, 1998. "Non-Time Additive Utility Optimization - the Case of Certainty," GE, Growth, Math methods, EconWPA 9811002, EconWPA.
- D91 - Microeconomics - - Intertemporal Choice - - - Intertemporal Household Choice; Life Cycle Models and Saving
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.:
- 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.
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"Optimal Dynamic Choice of Durable and Perishable Goods,"
Bonn Econ Discussion Papers, University of Bonn, Germany
bgse29_2003, University of Bonn, Germany.
- Peter Bank & Frank Riedel, 2003. "Optimal Dynamic Choice of Durable and Perishable Goods," Levine's Bibliography 666156000000000402, UCLA Department of Economics.
- 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.
- Peter Bank & Frank Riedel, 1999. "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," GE, Growth, Math methods, EconWPA 9908002, EconWPA.
- Gundel, Anne & Weber, Stefan, 2008. "Utility maximization under a shortfall risk constraint," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1126-1151, December.
- 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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