Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under …-Tuckerlike necessary and sufficient conditions for optimality are given. Using this characterization, we show that optimal consumption … generated by a Lévy process and agents exhibit constant relative risk aversion, closed-form solutions are derived. Depending on …

The utility maximization problem of "ratchet investors" who do not tolerate any decline in their consumption rate is … special cases. The optimal consumption plan turns out to be the running maximum of the optimal plan a conventional time …–additive investor would choose. -- Intertemporal Consumption Choice ; Habit Formation ; Non-Time Separable Utility …

hedging derivatives and of intertemporal consumption choice. …

risk …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined … the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …

When people decide about saving and consumption across the various periods of their life time they take into account … least three, at most six saving vs. consumption decisions, depending on a stochastic manipulation of changes in life … expectancy. In this report we focus on how personality characteristics influence the amount of consumption in single periods of …

Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred habitats is proposed … term bonds to shorter instruments as the Preferred Habitat Theory predicts. …