We study the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities. Necessary and sufficient conditions for optimality are given. An explicit solution is provided for a large class of utility functions. In particular, the case of separable power utilities with a finite time...

The utility maximization problem of "ratchet investors" who do not tolerate any decline in their consumption rate is solved explicitly for all felicity functions in a Markovian framework which includes Brownian motion and Poisson processes as special cases. The optimal consumption plan turns out...

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem...

We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under arbitrary convex portfolio constraints, including both...

We prove existence of an Arrow-Debreu equilibrium when agents' preferences exhibit local substitution in the sense of Hindy, Huang, and Kreps (1992). Efficient allocations and supporting price functionals are identified and characterized. Under Hindy Huang Kreps preferences, equilibrium price...