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Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints

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Cited by:

  1. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  2. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
  3. L. A. Bordag & I. P. Yamshchikov & D. Zhelezov, 2015. "Portfolio optimization in the case of an asset with a given liquidation time distribution," Post-Print hal-01186961, HAL.
  4. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
  5. Simon Ellersgaard, 2019. "On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1179-1211, October.
  6. Zhang, Dongyang & Guo, Rui, 2020. "The consumption response to household leverage in China: The role of investment at household level," International Review of Financial Analysis, Elsevier, vol. 71(C).
  7. Seok‐Kyun Hur & Chune Young Chung, 2019. "The Distribution Of Betas In Presence Of Nontraded Assets," Bulletin of Economic Research, Wiley Blackwell, vol. 71(1), pages 90-112, January.
  8. Milad Goodarzi & Christoph Meinerding, 2025. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," The European Journal of Finance, Taylor & Francis Journals, vol. 31(9), pages 1141-1167, June.
  9. Fischer, Marcel & Jensen, Bjarne Astrup & Koch, Marlene, 2023. "Optimal retirement savings over the life cycle: A deterministic analysis in closed form," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 48-58.
  10. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, July-Dece.
  11. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
  12. Zhao, Chunkai & Wu, Yaqian & Guo, Jianhao, 2022. "Mobile payment and Chinese rural household consumption," China Economic Review, Elsevier, vol. 71(C).
  13. Wang, J. & Forsyth, P.A., 2010. "Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 207-230, February.
  14. Huiling Wu, 2016. "Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-17, July.
  15. Morten Tolver Kronborg, 2014. "Optimal Consumption and Investment with Labor Income and European/American Capital Guarantee," Risks, MDPI, vol. 2(2), pages 1-24, May.
  16. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
  17. European Central Bank & Stefano Corradin, 2009. "Household Leverage," 2009 Meeting Papers 906, Society for Economic Dynamics.
  18. Ljudmila A. Bordag & Ivan P. Yamshchikov & Dmitry Zhelezov, 2014. "Portfolio optimization in the case of an asset with a given liquidation time distribution," Papers 1407.3154, arXiv.org.
  19. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
  20. Andreas Lichtenstern & Pavel V. Shevchenko & Rudi Zagst, 2019. "Optimal life-cycle consumption and investment decisions under age-dependent risk preferences," Papers 1908.09976, arXiv.org.
  21. Zeng, Yan & Wu, Huiling & Lai, Yongzeng, 2013. "Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon," Economic Modelling, Elsevier, vol. 33(C), pages 462-470.
  22. Stefano Corradin, 2014. "Household Leverage," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 567-613, June.
  23. Ljudmila A. Bordag & Ivan P. Yamshchikov, 2015. "Optimization problem for a portfolio with an illiquid asset: Lie group analysis," Papers 1512.06295, arXiv.org.
  24. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016, January-A.
  25. Henderson, Vicky, 2005. "Explicit solutions to an optimal portfolio choice problem with stochastic income," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1237-1266, July.
  26. Yevhen Havrylenko, 2025. "Framework for asset-liability management with fixed-term securities," Papers 2502.19213, arXiv.org, revised May 2025.
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