Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:115

Article

Schroder, M ; Skiadas, C

关键词: finance;    optimal portfolios;    recursive utility;    BSDE;    FBSDE;   

DOI  :  10.1016/j.spa.2004.08.001

来源: Elsevier

【 摘 要 】

We analyze the lifetime consumption-portfolio problem in a competitive securities market with continuous price dynamics, possibly nontradeable income, and convex trading constraints. We define a class of translation-invariant recursive preferences, which includes additive exponential utility, but also nonadditive recursive and multiple-prior formulations, and allows for first and second-order source-dependent risk aversion. For this class, we show that the solution reduces to a single constrained backward stochastic differential equation, which for an interesting class of incomplete-market problems simplifies to a system of ordinary differential equations of the Riccati type. (C) 2004 Elsevier B.V. All rights reserved.

【 授权许可】

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