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Author : Bahman Angoshtari
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Optimal Investment and Consumption Under a Habit-Formation Constraint written by Bahman Angoshtari and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ayman Hindy
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.0/5 ( download)
Download or read book Optimal Consumption and Portfolio Rules with Durability and Habit Formation written by Ayman Hindy and published by . This book was released on 1993 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Servaas van Bilsen
Publisher :
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.:/5 (13 download)
Download or read book Consumption and Portfolio Choice Under Internal Multiplicative Habit Formation written by Servaas van Bilsen and published by . This book was released on 2018 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the optimal consumption and investment behavior of an individual who derives utility from the ratio between his consumption and an endogenous habit. We obtain closed-form policies under general utility functionals and stochastic investment opportunities, by developing a non-trivial linearization to the budget constraint. This enables us to explicitly characterize how habit formation a ffects the marginal propensity to consume and optimal stock-bond investments. We also show that in a setting which combines habit formation with Epstein-Zin utility, consumption no longer grows at unrealistically high rates at high ages and investments in risky assets decrease.
Author : Felix Hentschel
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Consumption and Investment Decisions Under Time-Varying Risk Attitudes written by Felix Hentschel and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: When finding the optimal consumption and investment decision rules of an individual, accounting for a change in the risk aversion over the life cycle is an important aspect. Different methods are suggested in the literature. This paper combines the two approaches of including a habit level (see e.g. Constantinides, 1990) and a coefficient of time-varying risk aversion (see e.g. Steffensen, 2011). The optimal decision rules are derived in a complete market and examined in a numerical analysis.Our findings show that with a coefficient of time-varying risk aversion, the shape of the decision rules, rather than just their magnitude, depends on the initial wealth of the individual. Furthermore, a time-increasing risk aversion and sufficiently large habit formation lead to a hump-shaped consumption pattern and a decreasing investment into the risky asset, as observed in the literature.
Author : L. C. G. Rogers
Publisher : Springer Science & Business Media
ISBN 13 : 3642352022
Total Pages : 163 pages
Book Rating : 4.6/5 (423 download)
Download or read book Optimal Investment written by L. C. G. Rogers and published by Springer Science & Business Media. This book was released on 2013-01-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.
Author : Amit V. Bhandari
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book Discrete-Time Optimization of Consumption and Investment Decisions Given Intolerance for a Decline in Standard of Living written by Amit V. Bhandari and published by . This book was released on 2008 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend Samuelson's (1969) discrete-time dynamic consumption and investment optimization problem to the case where the investor is intolerant of any decline in her standard of living. This constraint represents a strong form of habit formation such that the consumption rate is non-decreasing over time. To achieve this objective, the investor first guarantees a consumption perpetuity at the current consumption rate and then allocates the remaining wealth under a state-dependent, adjusted coefficient of relative risk aversion. We study the impact of the length of the time interval on the optimal consumption and investment policies. This effect has implications for investors considering investments in assets, such as hedge funds and private equity, that have restrictions on trading intervals.
Author : Feyzullah Egriboyun
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Optimal investment and consumption with reallocation and drawdown constraints written by Feyzullah Egriboyun and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thanh Long Nguyen
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consumption and Investment Optimization Under Constraints written by Thanh Long Nguyen and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a problem of maximization of expected terminal wealth and consumption under constraints in a general financial framework, which includes models with constrained portfolios, labor income and large investor models. By introducing the new finite probability space, as well as a new utility function, the considered problem is converted to the one studied by Pham and Mnif (2002) [48]. By using general optional decomposition under constraints, we can develop a dual formulation under minimal assumption modeled as in Pham and Mnif (2002) [48]. We then are able to prove an existence and uniqueness of an optimal solution to primal problem. Under the assumption that there exists a solution to the corresponding dual problem, an optimal consumption plan can be found by convex duality.
Author : John P. Lehoczky
Publisher :
ISBN 13 :
Total Pages : 114 pages
Book Rating : 4.:/5 (129 download)
Download or read book Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy written by John P. Lehoczky and published by . This book was released on 2011 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: An agent can distribute his wealth between two investments, one with a fixed rate of return r and the other with a random rate of return (modeled as a diffusion) with mean r. The agent seeks to maximize total discounted utility from consumption over an infinite horizon. Consumption may be constrained from below. Various models for bankruptcy, including welfare, are considered. The agent has a strictly concave utility function for consumption; however, it is shown that the utility function for wealth may have convex portions, thus the agent may be risk seeking. The paper gives a complete treatment of the existence and nonexistence of optimal policies. New theorems for the optimal control of degenerate diffusions are given, as well as explicit formulas for the value function.
Author : Athanasios Orphanides
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (848 download)
Download or read book Optimal Consumption Dynamics with Non-concave Habit Forming Utility written by Athanasios Orphanides and published by . This book was released on 1993 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Amit Vijay Bhandari
Publisher :
ISBN 13 :
Total Pages : 151 pages
Book Rating : 4.:/5 (931 download)
Download or read book The Impact of Consumption and Liquidity Constraints on Optimal Consumption and Investment Decisions written by Amit Vijay Bhandari and published by . This book was released on 2008 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven E. Shreve
Publisher :
ISBN 13 :
Total Pages : 77 pages
Book Rating : 4.:/5 (57 download)
Download or read book Optimal Investment and Consumption with Transaction Costs written by Steven E. Shreve and published by . This book was released on 1992 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: "A complete solution is provided to the infinite-horizon, discounted problem of optimal consumption and investment in a market with one stock, one money market (sometimes called a 'bond'), and proportional transaction costs. The utility function may be of the form c[superscript p]/p where p
Author : Thijs Kamma
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Dual Formulation of the Optimal Consumption Problem with Multiplicative Habit Formation written by Thijs Kamma and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : CIRANO.
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (466 download)
Download or read book Consumption with Liquidity Constraints and Habit Formation written by CIRANO. and published by Montréal : CIRANO. This book was released on 2000 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Claus Munk
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (753 download)
Download or read book Optimal Consumption: Investment Policies with Undiversifiable Income Risk and Borrowing Constraints written by Claus Munk and published by . This book was released on 1997 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hong Liu
Publisher :
ISBN 13 :
Total Pages : 125 pages
Book Rating : 4.:/5 (187 download)
Download or read book Optimal Consumption and Investment with Market Frictions written by Hong Liu and published by . This book was released on 1998 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nils Hemming Hakansson
Publisher :
ISBN 13 :
Total Pages : 262 pages
Book Rating : 4.:/5 (896 download)
Download or read book Optimal Investment and Consumption Strategies for a Class of Utility Functions written by Nils Hemming Hakansson and published by . This book was released on 1969 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
