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Optimal consumption with intertemporal substitution under knightian uncertainty

Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020

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...

Persistent link: https://www.econbiz.de/10012315509

Impatient Consumers

Sunstein, Cass R. - 2022

energy efficiency mandates might produce billions of dollars in annual savings to present-biased consumers. The net benefits …

Persistent link: https://www.econbiz.de/10014236393

Optimal consumption for recursive preferences with local substitution : the case of certainty

Li, Hanwu; Riedel, Frank; Yang, Shuzhen - 2022

We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan. An explicit solution is provided for the case when the...

Persistent link: https://www.econbiz.de/10013445441

Optimal housing, consumption, and investment decisions over the life cycle

Kraft, Holger; Munk, Claus - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1025-1041

Persistent link: https://www.econbiz.de/10009237441

Adaptation, anticipation-bias and optimal income taxation

Aronsson, Thomas; Schöb, Ronnie - 2012

-formation process. The analysis is based on a general equilibrium OLG model with endogenous labor supply and savings where each consumer …-bias through a combination of time-variant marginal labor income taxes and savings subsidies. Furthermore, the optimal policy mix … remains the same, irrespective of whether consumers commit to their original life-time plan for work hours and savings decided …

Persistent link: https://www.econbiz.de/10009570029

Adaptation, Anticipation-bias and optimal income taxation

Aronsson, Thomas; Schöb, Ronnie - 2012

Persistent link: https://www.econbiz.de/10009559801

Generalized hyperbolic discounting, borrowing aversion, and debt holding

Ikeda, Shinsuke; Kang, Myong-il - 2011

Analysis of an original, broad, internet-based survey reveals that debt holding is related to three aspects of time discounting: (i) present bias, measured by the degree of declining impatience in the generalized hyperbolic discount function; (ii) borrowing aversion, captured by a sign effect -...

Persistent link: https://www.econbiz.de/10009314489

Optimal consumption choice for ratchet investors

Riedel, Frank - 2001

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...

Persistent link: https://www.econbiz.de/10009616776

Optimal consumption choice under uncertainty with intertemporal substitution

Bank, Peter; Riedel, Frank - 1999

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...

Persistent link: https://www.econbiz.de/10009581101

Existence and structure of stochastic equilibria with intertemporal substitution

Bank, Peter; Riedel, Frank - 2000

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...

Persistent link: https://www.econbiz.de/10009612019