Optimal consumption choice with intertemporal substitution

[1]  Jakša Cvitanić,et al.  Convex Duality in Constrained Portfolio Optimization , 1992 .

[2]  J. Cox,et al.  Optimal consumption and portfolio policies when asset prices follow a diffusion process , 1989 .

[3]  Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales , 1997 .

[4]  R. C. Merton,et al.  Continuous-Time Finance , 1990 .

[5]  D. Duffie,et al.  Continuous-time security pricing: A utility gradient approach , 1994 .

[6]  R. Aumann,et al.  A variational problem arising in economics , 1965 .

[7]  Suresh M. Sundaresan,et al.  Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth , 1989 .

[8]  D. Cuoco Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income , 1997 .

[9]  Kenneth H. Karlsen,et al.  Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach , 2001, Finance Stochastics.

[10]  Frank Riedel,et al.  Non-time additive utility optimization—the case of certainty , 1998 .

[11]  H. Föllmer,et al.  Optional decompositions under constraints , 1997 .

[12]  John C. Cox,et al.  A variational problem arising in financial economics , 1991 .

[13]  S. Shreve,et al.  Optimal portfolio and consumption decisions for a “small investor” on a finite horizon , 1987 .

[14]  George M. Constantinides,et al.  Habit Formation: A Resolution of the Equity Premium Puzzle , 1990, Journal of Political Economy.

[15]  W. Schachermayer,et al.  The asymptotic elasticity of utility functions and optimal investment in incomplete markets , 1999 .

[16]  Yuri Kabanov,et al.  Hedging and liquidation under transaction costs in currency markets , 1999, Finance Stochastics.

[17]  J. Komlos A generalization of a problem of Steinhaus , 1967 .

[18]  R. C. Merton,et al.  Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3 , 1971 .

[19]  Hans Föllmer,et al.  Optional decomposition and Lagrange multipliers , 1997, Finance Stochastics.