Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62715
Authors: 
Riedel, Frank
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,92
Abstract: 
The utility maximization problem of ratchet investors who do not tolerate any decline in their consumption rate is solved explicitly for all felicity functions in a Markovian framework which includes Brownian motion and Poisson processes as special cases. The optimal consumption plan turns out to be the running maximum of the optimal plan a conventional time-additive investor would choose.
Subjects: 
Intertemporal Consumption Choice
Habit Formation
Non-Time Separable Utility
JEL: 
D91
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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