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Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints

  • Munk, Claus

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File URL: http://www.sciencedirect.com/science/article/B6V85-40GJDT5-2/2/84bd53e216f4cc5ad81d3df348d62519
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 24 (2000)
Issue (Month): 9 (August)
Pages: 1315-1343

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Handle: RePEc:eee:dyncon:v:24:y:2000:i:9:p:1315-1343
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Hyeng Keun Koo, 1998. "Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 49-65.
  2. Heaton, John & Lucas, Deborah, 1997. "Market Frictions, Savings Behavior, And Portfolio Choice," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 76-101, January.
  3. Svensson, L.E. & Werner, I., 1990. "Nontraded Assets in Incomplete Markets: Pricing and Portfolio Choices," Papers 477, Stockholm - International Economic Studies.
  4. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  5. Darrell Duffie & Thaleia Zariphopoulou, 1993. "Optimal Investment With Undiversifiable Income Risk," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 135-148.
  6. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
  7. Cuoco, Domenico, 1997. "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income," Journal of Economic Theory, Elsevier, vol. 72(1), pages 33-73, January.
  8. Hindy, Ayman & Huang, Chi-fu & Zhu, Steven H., 1997. "Numerical analysis of a free-boundary singular control problem in financial economics," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 297-327.
  9. Deaton, A., 1989. "Saving And Liquidity Constraints," Papers 153, Princeton, Woodrow Wilson School - Public and International Affairs.
  10. Hans Andersson & B. Sailesh Ramamurtie & Bharat Ramaswami, 1995. "An intertemporal model of consumption and portfolio allocation," Working Paper 95-15, Federal Reserve Bank of Atlanta.
  11. Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 753-782, May.
  12. He, Hua & Pages, Henri F, 1993. "Labor Income, Borrowing Constraints, and Equilibrium Asset Prices," Economic Theory, Springer, vol. 3(4), pages 663-96, October.
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