We examine the intertemporal optimal consumption and investmentproblem in a continuous-time economy with a divisible durable good. Consumption services are assumed to be proportional to the stock of the good held and adjustment of the stock is costly, in that it involves the payment of a...

This paper examines optimal consumption and investment choices and the cost of hedging contingent claims in the presence of margin requirements or, more generally, of nonlinear wealth dynamics and constraints on the portfolio policies. Existence of optimal policies is established using...

This paper examines optimal consumption and investment choices and the cost of hedging contingent claims in the presence of margin requirements or, more generally, of nonlinear wealth dynamics and constraints on the portfolio policies. Existence of optimal policies is established using...