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Non-time additive utility optimization: The case of certainty

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  • Riedel, Frank
  • Bank, Peter

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

Paper 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.

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Date of creation: 1998
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Handle: RePEc:zbw:sfb373:1998108

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Keywords: non-time additive utility optimization; intertemporal utility;

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References

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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, 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," Bonn Econ Discussion Papers, University of Bonn, Germany bgse29_2003, University of Bonn, Germany.
  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, 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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