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Numerical analysis of a free-boundary singular control problem in financial economics

Author Info

Listed author(s):
  • Hindy, Ayman
  • Huang, Chi-fu
  • Zhu, Steven H.
Registered author(s):

    Abstract

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(96)00933-5
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 21 (1997)
    Issue (Month): 2-3 ()
    Pages: 297-327

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    Handle: RePEc:eee:dyncon:v:21:y:1997:i:2-3:p:297-327
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Hindy, Ayman & Huang, Chi-fu & Zhu, Steven H., 1997. "Optimal consumption and portfolio rules with durability and habit formation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 525-550.
    2. 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. He, Hua & Mamaysky, Harry, 2005. "Dynamic trading policies with price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 891-930, May.
    2. Hindy, Ayman & Huang, Chi-fu & Zhu, Steven H., 1997. "Optimal consumption and portfolio rules with durability and habit formation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 525-550.
    3. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(9), pages 1315-1343, August.
    4. Claus Munk, 1997. "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance 9712006, EconWPA.
    5. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
    6. European Central Bank & Stefano Corradin, 2009. "Household Leverage," 2009 Meeting Papers 906, Society for Economic Dynamics.
    7. Jaime A. Londo\~no, 2006. "State Dependent Utility," Papers math/0603316, arXiv.org.
    8. 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.
    9. Claus Munk, 1997. "Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints," Finance 9712003, EconWPA.

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