Koo, Byung Lim; Koo, Hyeng Keun; Koo, Jung Lim; Hyun, … - In: Economics Letters 117 (2012) 3, pp. 646-649
In this note we show the following result of Dybvig (1995) is valid for a general von Neumann–Morgenstern utility function: for an agent who does not tolerate a decline in consumption, the optimal investment out of discretionary wealth (in excess of the perpetuity value of current consumption)...