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| Tekijä: | Vila, J.-L. Zariphopoulou, T. |
| Otsikko: | Optimal consumption and portfolio choice with borrowing constraints |
| Lehti: | Journal of Economic Theory
1997 : DEC, VOL. 77:2, p. 402-431 |
| Asiasana: | EFFICIENCY CONSUMPTION PORTFOLIO SELECTION BORROWING |
| Kieli: | eng |
| Tiivistelmä: | In this paper the authors 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. The authors show that under general assumptions on the agent's utility function, optimal policies exist and can be expressed as feedback functions or current wealth. The authors describe these policies in detail, when the agent's utility function exhibits constant relative risk aversion. |
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