IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income"

by Cuoco, Domenico

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers 3049, C.E.P.R. Discussion Papers.
  2. Schwartz, Eduardo S & Tebaldi, Claudio, 2004. "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management qt7q65t12x, Anderson Graduate School of Management, UCLA.
  3. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  4. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(9), pages 1315-1343, August.
  5. Sami Attaoui & Pierre Six, 2014. "Hedging demand and the certainty equivalent of wealth," Economics Bulletin, AccessEcon, vol. 34(3), pages 1742-1750.
  6. Andrea Frazzini & Lasse H. Pedersen, 2012. "Embedded Leverage," NBER Working Papers 18558, National Bureau of Economic Research, Inc.
  7. Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing And Life-Cycle Portfolio Choice," 2006 Meeting Papers 578, Society for Economic Dynamics.
  8. Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
  9. Masahiko Egami & Hideki Iwaki, 2007. "An optimal life insurance policy in the investment-consumption problem in an incomplete market," Papers 0801.0195, arXiv.org, revised May 2011.
  10. Claus Munk, 1997. "Optimal Consumption/Investment Policies with Undiversifiable Income Risk and Borrowing Constraints," Finance 9712003, EconWPA.
  11. Kogan, Leonid & Uppal, Raman, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
  12. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
  13. Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering.
  14. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society.
  15. Cass, David & Siconolfi, Paolo & Villanacci, Antonio, 2001. "Generic regularity of competitive equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 61-76, September.
  16. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  17. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  18. Xiangyu Cui & Duan Li & Xun Li, 2014. "Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure," Papers 1403.0718, arXiv.org.
  19. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
  20. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  21. 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.
  22. Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
  23. Henderson, Vicky & Hobson, David G., 2002. "Real options with constant relative risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 329-355, December.
  24. Oleksii Mostovyi, 2011. "Optimal investment with intermediate consumption and random endowment," Papers 1110.2573, arXiv.org, revised Oct 2012.
  25. Mnif, Mohammed & Pham, Huyên, 2001. "Stochastic optimization under constraints," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 149-180, May.
  26. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  27. Herve Roche, 2004. "Optimum Consumption and Portfolio Allocations under Incomplete Information," Econometric Society 2004 Latin American Meetings 79, Econometric Society.
  28. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, vol. 31(3), pages 447-471, June.
  29. Laura Angeloni & Bernard Cornet, 2005. "Existence Of Financial Equilibria In A Multiperiod Stochastic Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200506, University of Kansas, Department of Economics, revised Feb 2005.
  30. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  31. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
  32. Jeanblanc, Monique & Dana, Rose-Anne, 2003. "Financial Markets in Continuous Time," Economics Papers from University Paris Dauphine 123456789/13604, Paris Dauphine University.
  33. Dai, Min & Jin, Hanqing & Liu, Hong, 2011. "Illiquidity, position limits, and optimal investment for mutual funds," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1598-1630, July.
  34. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2003. "Evaluating Portfolio Policies: A Duality Approach," NBER Working Papers 9861, National Bureau of Economic Research, Inc.
  35. Yang, Yunhong, 2000. "Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 135-153, March.
  36. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
  37. Buss, Adrian & Dumas, Bernard J, 2013. "Financial-market Equilibrium with Friction," CEPR Discussion Papers 9524, C.E.P.R. Discussion Papers.
  38. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
  39. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, EconWPA, revised 19 Nov 2002.
  40. Süleyman Basak, . "On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis," Rodney L. White Center for Financial Research Working Papers 10-98, Wharton School Rodney L. White Center for Financial Research.
  41. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, vol. 91(1), pages 17-58, March.
  42. Roche, Hervé & Tompaidis, Stathis & Yang, Chunyu, 2013. "Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios," Journal of Financial Economics, Elsevier, vol. 109(3), pages 775-796.
  43. Roche, Herve, 2003. "Stochastic growth: a duality approach," Journal of Economic Theory, Elsevier, vol. 113(1), pages 131-143, November.
  44. Long Nguyen-Thanh, 2003. "Investment Optimization under Constraints," Finance 0301005, EconWPA, revised 10 Jan 2003.
  45. Catherine Donnelly & Russell Gerrard & Montserrat Guillén & Jens Perch Nielsen, 2015. "Less is more: increasing retirement gains by using an upside terminal wealth constraint," Working Papers 2015-02, Universitat de Barcelona, UB Riskcenter.
  46. Claus Munk, 1997. "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance 9712006, EconWPA.
  47. An Chen & Carla Mereu & Robert Stelzer, 2014. "Optimal investment with time-varying stochastic endowments," Papers 1406.6245, arXiv.org, revised Oct 2014.
  48. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  49. Damgaard, Anders & Fuglsbjerg, Brian & Munk, Claus, 2003. "Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 209-253, November.
  50. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.