Optimal consumption and portfolio choice with borrowing constraints

被引：51
|
作者：
Vila, JL
Zariphopoulou, T
机构：
[1] Goldman Sachs Int, London EC4A 2BB, England
[2] Univ Wisconsin, Sch Business, Madison, WI 53706 USA
[3] Univ Wisconsin, Dept Math, Madison, WI 53706 USA
来源：
JOURNAL OF ECONOMIC THEORY | 1997年 / 77卷 / 02期
基金：
美国国家科学基金会;
关键词：
D O I：
10.1006/jeth.1997.2285
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper. we use stochastic dynamic programming to study the intertemporal consumption and portfolio choice of an infinitely lived agent who faces a constant opportunity set and a borrowing constraint, We show that. under general assumptions on the agent's utility function, optimal policies exist and can be expressed as feedback Functions of current wealth. We describe these policies in detail, when the agent's utility function exhibits constant relative risk aversion. (C) 1997 Academic Press.
引用
收藏
页码：402 / 431
页数：30
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