Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
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Publisher
Cambridge, UK: Cambridge University Press
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Language
English
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Publisher
Cambridge, UK: Cambridge University Press
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Scope and Contents
Contents
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent’s preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing functional is nonlinear. We prove existence and uniqueness of the optimal consumption plan, and we derive a set of suff...
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Full title
Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
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TN_cdi_proquest_journals_2732619987
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2732619987
Other Identifiers
ISSN
0001-8678
E-ISSN
1475-6064
DOI
10.1017/apr.2022.5
