Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time

被引：18
|
作者：
Smith, WT
机构：
[1] Department of Economics, Fogelman Coll. of Bus. and Econ., University of Memphis, Memphis
来源：
ECONOMICS LETTERS | 1996年 / 53卷 / 02期
关键词：
feasibility and transversality conditions; continuous-time consumption-portfolio problem; GIE preferences;
D O I：
10.1016/S0165-1765(96)00914-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This note explores the feasibility and transversality conditions for the continuous-time consumption-portfolio problem with generalized isoelastic (GIE) preferences. Unlike the case of time-separable preferences, the transversality condition usually is neither necessary nor sufficient for the feasibility condition to be satisfied. Furthermore, ordinally equivalent representations of GIE preferences produce different transversality conditions.
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页码：123 / 131
页数：9
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