Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints
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References listed on IDEAS
- Svensson, Lars E. O. & Werner, Ingrid M., 1993.
"Nontraded assets in incomplete markets : Pricing and portfolio choice,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Claus Munk, 1997. "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance 9712006, EconWPA.
More about this item
Keywordsoptimal consumption and portfolio policies; undiversifiable income risk; borrowing constraints; wealth equivalent of income; Markov chain approximation;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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