Consumption and equilibrium prices with portfolio constraints and stochastic income

Journal of Economic Theory

Volumn 72, Issue 1, 1997, Pages 33-73

  Cuoco, Domenico ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030637289     PISSN: 00220531     EISSN: None     Source Type: Journal    
DOI: 10.1006/jeth.1996.2207     Document Type: Article

References (42)

1. 1. I. Bardhan, Consumption and investment under constraints, J. Econ. Dynam. Control 18 (1994), 909-929.
2. 2. S. Basak, A general equilibrium model of portfolio insurance, Rev. Finan. Stud. 8 (1995), 1059-1090.
3. 3. D. T. Breeden, An intertemporal asset pricing model with stochastic consumption and investment opportunities, J. Finan. Econ. 7 (1979), 265-296.
4. 4. A. V. Buhvalov and G. Ja. Lozanovskiǐ, On sets closed with respect to convergence in measure in spaces of measurable functions, Soviet Math. Dokl. 14 (1973), 1563-1565.
5. 5. K. L. Chung, "Lectures from Markov Processes to Brownian Motion," Springer-Verlag, New York, 1982.
6. 6. J. C. Cox and C.-F. Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process, J. Econ. Theory 49 (1989), 33-83.
7. 7. J. C. Cox and C.-F. Huang, A variational problem arising in financial economics, J. Math. Econ. 20 (1991), 465-487.
8. 8. D. Cuoco and J. Cvitanić, Optimal consumption choices for a "large" investor, mimeo, Wharton School, University of Pennsylvania, 1995.
9. 9. J. Cvitanić and I. Karatzas, Convex duality in constrained portfolio optimization, Ann. Appl. Probab. 2 (1992), 767-818.
10. 10. J. Cvitanić and I. Karatzas, Hedging contingent claims with constrained portfolios, Ann. Appl. Probab. 3 (1993), 652-681.
11. 11. C. Dellacherie and P.-A. Meyer, "Probabilities and Potential B," North-Holland, New York, 1982.
12. 12. D. Duffie, W. Fleming, H. M. Soner, and T. Zariphopoulou, Hedging in incomplete markets with HARA utility, J. Econ. Dynam. Control, forthcoming.
13. 13. D. Duffie and T. Zariphopoulou, Optimal investment with undiversifiable income risk, Math. Finan. 3 (1993), 135-148.
14. 14. N. Dunford and J. T. Schwartz, "Linear Operators, Part I," Wiley, New York, 1988.
15. 15. P. H. Dybvig and C.-F. Huang, Nonnegative wealth, absence of arbitrage, and feasible consumption plans, Rev. Finan. Stud. 1 (1989), 377-401.
16. W. H. Fleming and T. Zariphopoulou, An optimal investment/consumption model with borrowing, Math. Oper. Res. 16 (1991), 802-822.
17. 17. L. Foldes, Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments, Stochastics 41 (1992), 241-267.
18. 18. A. Fougères, Optimisation convexe dans les banachs non-reflexifs: Methode de relaxation projection, Publ. Math. Univ. Pierre et Marie Curie 29 (1979), 8-01-8-30.
19. 19. S. J. Grossman and R. J. Shiller, Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information, J. Finan. Econ. 10 (1982), 195-210.
20. 20. S. J. Grossman and J.-L. Vila, Optimal dynamic trading with leverage constraints, J. Finan. Quant. Analysis 27 (1992), 151-167.
21. 21. J. M. Harrison and D. Kreps, Martingales and arbitrage in multiperiod securities markets, J. Econ. Theory 20 (1979), 381-408.
22. 22. H. He and H. F. Pagès, Labor income, borrowing constraints, and equilibrium asset prices: A duality approach, Econ. Theory 3 (1993), 663-696.
23. 23. H. He and N. D. Pearson, Consumption and portfolio policies with incomplete markets and short-sale constraints: The finite-dimensional case, Math. Finance 1 (1991), 1-10.
24. 24. H. He and N. D. Pearson, Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite-dimensional case, J. Econ. Theory 54 (1991), 259-304.
25. 25. A. Hindy, Viable prices in fanancial markets with solvency constraints, J. Math. Econ. 24 (1995), 105-135.
26. 26. A. Hindy and M. Huang, "Asset Pricing with Linear Collateral Constraints," mimeo, Graduate School of Business, Stanford University, 1995.
27. 27. J. Jacod and A. N. Shiryaev, "Limit Theorems for Stochastic Processes," Springer-Verlag, New York, 1987.
28. 28. E. Jouini and H. Kallal, Arbitrage in securities markets with short-sales constraints, Math. Finance 5 (1995), 197-232.
29. 29. I. Karatzas, J. P. Lehoczky, and S. E. Shreve, Optimal portfolio and consumption decisions for a "small investor" on a finite horizon, SIAM J. Control Optim. 25 (1987), 1557-1586.
30. 30. I. Karatzas, J. P. Lehoczky, and S. E. Shreve, Equilibrium models with singular asset prices, Math. Finance 1 (1991), 11-29.
31. 31. I. Karatzas, J. P. Lehoczky, S. E. Shreve, and G.-L. Xu, Martingale and Duality methods for utility maximization in an incomplete market, SIAM J. Control Optim. 29 (1991), 702-730.
32. 32. I. Karatzas and S. E. Shreve, "Brownian Motion and Stochastic Calculus," Springer-Verlag, New York, 1988.
33. 33. H.-K. Koo, "Consumption and Portfolio Selection with Labor Income II: The Life Cycle-Permanent Income Hypothesis,mimeo, Olin School of Business, Washington University, 1995.
34. 34. V. L. Levin, Extremal problems with convex functionals that are lower-semicontinuous with respect to convergence in measure, Soviet Math. Dokl. 16 (1976), 1384-1388.
35. 35. R. C. Merton, Optimum consumption and portfolio rules in a continuous-time model, J. Econ. Theory 3 (1971), 373-413.
36. 36. R. T. Rockafellar, "Convex Analysis," Princeton Univ. Press, Princeton, 1970.
37. 37. H. Shirakawa, Optimal consumption and portfolio selection with incomplete markets and upper and lower bound constraints, Math. Finance 4 (1994), 1-24.
38. 38. L. E. O. Svensson and I. M. Werner, Nontraded assets in incomplete markets: Pricing and portfolio choice, Europ. Econ. Rev. 37 (1993), 1149-1168.
39. 39. G.-L. Xu and S. E. Shreve, A duality method for optimal consumption and investment under short-selling prohibition. I. General market coefficients, Ann. Appl. Probab. 2 (1992), 87-112.
40. 40. G.-L. Xu and S. E. Shreve, A duality method for optimal consumption and investment under short-selling probition. II. Constant market coefficients, Ann. Appl. Probab. 2 (1992), 314-328.
41. 41. J.-L. Vila and T. Zariphopoulou, "Optimal Consumption and Portfolio Choice with Borrowing Constraints," Working paper No. 3650-94, Sloan School of Management, Massachusetts Institute of Technology, 1994.
42. 42. T. Zariphopoulou, Consumption-investment models with constraints, SIAM J. Control. Optim. 32 (1994), 59-85.