Non-addictive habits: optimal consumption-portfolio policies
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Sundaresan, Suresh M, 1989. "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth," Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 73-89.
- Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-1657, November.
- Milind M. Shrikhande, 1997. "Non-addictive Habit Formation and the Equity Premium Puzzle," European Financial Management, European Financial Management Association, vol. 3(3), pages 293-319.
- 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.
- Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
- Detemple, Jerome B. & Giannikos, Christos I., 1996.
"Asset and commodity prices with multi-attribute durable goods,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 20(8), pages 1451-1504, August.
- Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.
- Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
- Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
- Heaton, John, 1993. "The Interaction between Time-Nonseparable Preferences and Time Aggregation," Econometrica, Econometric Society, vol. 61(2), pages 353-385, March.
- David A. Chapman, 1998. "Habit Formation and Aggregate Consumption," Econometrica, Econometric Society, vol. 66(5), pages 1223-1230, September.
- Cox, John C. & Huang, Chi-fu, 1991. "A variational problem arising in financial economics," Journal of Mathematical Economics, Elsevier, vol. 20(5), pages 465-487.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xiang Yu, 2011. "Utility maximization with addictive consumption habit formation in incomplete semimartingale markets," Papers 1112.2940, arXiv.org, revised May 2015.
- Yuan, Haili & Hu, Yijun, 2009. "Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 405-409, December.
- Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
- Roman Muraviev, 2011. "Additive habits with power utility: Estimates, asymptotics and equilibrium," Papers 1108.2889, arXiv.org.
- Liu, Xuan & Yang, Fang & Cai, Zongwu, 2016.
"Does relative risk aversion vary with wealth? Evidence from households׳ portfolio choice data,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 69(C), pages 229-248.
- Fang Yang & Xuan Liu & Zongwu Cai, 2013. "Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data," Departmental Working Papers 2013-09, Department of Economics, Louisiana State University.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jetheo:v:113:y:2003:i:2:p:265-285. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/622869 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.