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Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales

  • Jin, Xing
  • Deng, Shuhui
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-3SWYCBT-B/2/48de562ee206220f203b1d52bcb6914a
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    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 28 (1997)
    Issue (Month): 2 (September)
    Pages: 187-205

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    Handle: RePEc:eee:mateco:v:28:y:1997:i:2:p:187-205
    Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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    1. Eichenbaum, Martin & Hansen, Lars Peter, 1990. "Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 53-69, January.
    2. G. Constantinides, 1990. "Habit formation: a resolution of the equity premium puzzle," Levine's Working Paper Archive 1397, David K. Levine.
    3. 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.
    4. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-57, November.
    5. 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.
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