Optimal Consumption for Recursive Preferences with Local Substitution under Risk
Li H, Riedel F (2024) Center for Mathematical Economics Working Papers; 693.
Bielefeld: Center for Mathematical Economics.
Diskussionspapier
| Veröffentlicht | Englisch
Download
IMW_working_paper_693.pdf
521.20 KB
Autor*in
Abstract / Bemerkung
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and uniqueness of the optimal consumption plan. We present an infinite-dimensional version of the Kuhn-Tucker theorem, which provides the necessary and sufficient conditions for optimality. Additionally, we investigate quantitative properties and the construction of the optimal consumption plan.
Finally, we offer a detailed description of the structure of optimal consumption within a geometric Poisson framework.
MSC-classification: 60H10, 60H30
MSC-classification: 60H10, 60H30
Stichworte
recursive utility;
intertemporal substitution;
Hindy-Huang-Kreps preferences;
backward stochastic differential equation with jumps;
Poisson processes
Erscheinungsjahr
2024
Serientitel
Center for Mathematical Economics Working Papers
Band
693
Seite(n)
29
Urheberrecht / Lizenzen
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2992835
Zitieren
Li H, Riedel F. Optimal Consumption for Recursive Preferences with Local Substitution under Risk. Center for Mathematical Economics Working Papers. Vol 693. Bielefeld: Center for Mathematical Economics; 2024.
Li, H., & Riedel, F. (2024). Optimal Consumption for Recursive Preferences with Local Substitution under Risk (Center for Mathematical Economics Working Papers, 693). Bielefeld: Center for Mathematical Economics.
Li, Hanwu, and Riedel, Frank. 2024. Optimal Consumption for Recursive Preferences with Local Substitution under Risk. Vol. 693. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Li, H., and Riedel, F. (2024). Optimal Consumption for Recursive Preferences with Local Substitution under Risk. Center for Mathematical Economics Working Papers, 693, Bielefeld: Center for Mathematical Economics.
Li, H., & Riedel, F., 2024. Optimal Consumption for Recursive Preferences with Local Substitution under Risk, Center for Mathematical Economics Working Papers, no.693, Bielefeld: Center for Mathematical Economics.
H. Li and F. Riedel, Optimal Consumption for Recursive Preferences with Local Substitution under Risk, Center for Mathematical Economics Working Papers, vol. 693, Bielefeld: Center for Mathematical Economics, 2024.
Li, H., Riedel, F.: Optimal Consumption for Recursive Preferences with Local Substitution under Risk. Center for Mathematical Economics Working Papers, 693. Center for Mathematical Economics, Bielefeld (2024).
Li, Hanwu, and Riedel, Frank. Optimal Consumption for Recursive Preferences with Local Substitution under Risk. Bielefeld: Center for Mathematical Economics, 2024. Center for Mathematical Economics Working Papers. 693.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Creative Commons Namensnennung 4.0 International Public License (CC-BY 4.0):
Volltext(e)
Name
IMW_working_paper_693.pdf
521.20 KB
Access Level
Open Access
Zuletzt Hochgeladen
2024-09-23T13:28:25Z
MD5 Prüfsumme
332ae642e155e28b41e7758d75906f5a
Google Scholar