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|
|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.
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- Hindy, Ayman & Huang, Chi-fu & Kreps, David, 1992. "On intertemporal preferences in continuous time : The case of certainty," Journal of Mathematical Economics, Elsevier, vol. 21(5), pages 401-440.
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