Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/61706
Autoren: 
Bank, Peter
Riedel, Frank
Datum: 
1999
Reihe/Nr.: 
SFB 373 Discussion Paper 1999,71
Zusammenfassung: 
We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under arbitrary convex portfolio constraints, including both complete and incomplete markets. For the complete market setting, Kuhn-Tuckerlike necessary and sufficient conditions for optimality are given. Using this characterization, we show that optimal consumption plans are obtained by re- flecting the associated level of satisfaction on a stochastic lower bound. When uncertainty is generated by a Lévy process and agents exhibit constant relative risk aversion, closed-form solutions are derived. Depending on the structure of the underlying stochastics, optimal consumption occurs at rates, in gulps, or singular to Lebesgue measure.
Schlagwörter: 
Hindy-Huang-Kreps preferences
non-time additive utility optimization
intertemporal utility
intertemporal substitution
JEL: 
D91
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper
Nennungen in sozialen Medien:

Datei(en):
Datei
Größe
408.82 kB





Publikationen in EconStor sind urheberrechtlich geschützt.