Optimal consumption and portfolio choice with borrowing constraints
成果类型：
Article
署名作者：
Vila, JL; Zariphopoulou, T
署名单位：
University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1997.2285
发表日期：
1997
页码：
402-431
关键词：
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.