Non-Time Additive Utility Optimization - the Case of Certainty
We study the intertemporal utility maximization problem for Hindy- Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. In particular, the case of separable power utilities with a finite time horizon is solved explicitly.
|Date of creation:||27 Nov 1998|
|Date of revision:|
|Note:||Type of Document - LaTex/; prepared on IBM PC - PC-TEX; to print on HP/PostScript; pages: 18; figures: none|
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- Constantinides, George M, 1990.
"Habit Formation: A Resolution of the Equity Premium Puzzle,"
Journal of Political Economy,
University of Chicago Press, vol. 98(3), pages 519-43, June.
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- 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.
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