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Optimal consumption and portfolio rules with intertemporally dependent utility of consumption

Article Abstract:

A study was done to analyze the consumption portfolio problem. The study deviates from earlier research findings which assume lifetime utility to be time-additive. These earlier studies have not incorporated intertemporal dependencies in utility such as intertemporal risk aversion and habit formation. The current study allows past consumption effects on lifetime utility which can be solved by standard stochastic dynamic programming methods.

Author: Ingersoll, Jonathan E., Jr.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1992

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Dynamic portfolio choice and asset pricing with differential information

Article Abstract:

A multi-asset intertemporal general equilibrium model was formulated to investigate portfolio selection and asset pricing with differential information. The model utilizes an approach of Sargent to address the finite regress problem associated with information extraction and to obtain a rational expectations equilibrium. The model revealed that rational investors trade stocks based on their economic condition assessment.

Author: Zhou, Chunsheng
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1998
Economics, Research and Development in the Social Sciences and Humanities, Models

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Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy

Article Abstract:

A study was done to evaluate an individual's optimal consumption and investment decisions. The study assumes that the individual possesses initial wealth and wants to maximize total expected discounted utility of consumption. This consumption and portfolio decision dilemma does not allow consumption to decrease beyond certain subsistence levels while allowing the possibility of bankruptcy.

Author: Sethi, Suresh P., Taksar, Michael I., Presman, Ernst L.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1992
Economic aspects, Bankruptcy

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Subjects list: Research, Portfolio management, Consumption (Economics)
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