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Non-Time Additive Utility Optimization - the Case of Certainty

Author

Listed:
  • Peter Bank

    (Humboldt University Berlin)

  • Frank Riedel

    (Humboldt University Berlin)

Abstract

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.

Suggested Citation

  • Peter Bank & Frank Riedel, 1998. "Non-Time Additive Utility Optimization - the Case of Certainty," GE, Growth, Math methods 9811002, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpge:9811002
    Note: Type of Document - LaTex/; prepared on IBM PC - PC-TEX; to print on HP/PostScript; pages: 18; figures: none
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Hindy, Ayman & Huang, Chi-fu, 1992. "Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach," Econometrica, Econometric Society, vol. 60(4), pages 781-801, July.
    4. 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 519-543, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Peter Bank & Frank Riedel, 2003. "Optimal Dynamic Choice of Durable and Perishable Goods," Levine's Bibliography 666156000000000402, UCLA Department of Economics.
    2. Gundel, Anne & Weber, Stefan, 2008. "Utility maximization under a shortfall risk constraint," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1126-1151, December.
    3. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-26, July.
    5. Gilboa, Itzhak & Postlewaite, Andrew & Samuelson, Larry, 2016. "Memorable consumption," Journal of Economic Theory, Elsevier, vol. 165(C), pages 414-455.
    6. repec:dau:papers:123456789/2317 is not listed on IDEAS

    More about this item

    Keywords

    intertemporal utility; non time additive utility;

    JEL classification:

    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making

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