This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This note provides a simple proof of the necessity of the transversality condition for the differentiable reduced-form model. The proof uses only an elementary perturbation argument without relying on dynamic programming. The proof makes it clear that, contrary to common belief, the necessity of...

We study a dynamic portfolio selection problem in which an agent trades a stock and a risk-free asset with the objective of maximizing the rank-dependent utility of her wealth at the terminal time of the investment horizon. Due to time inconsistency, we consider three types of agents,...

This paper shows that the standard transversality condition (STVC) is necessary for optimality for stochastic models with bounded or constant-relative-risk-aversion (CRRA) utility under fairly general conditions. We consider an infinite-horizon stochastic maximization problem that takes a...

This paper shows that the standard transversality condition (STVC) is nec-essary for optimality in stochastic models with bounded or constant-relative-risk- aversion (CRRA) utility under fairly general conditions. We consider an infinite-horizon stochastic maximization problem that takes a...

This paper shows stochastic versions of (i) Michel's (1990, Econometrica 58, 705--723, Theorem 1) necessity result , (ii) a generalization of the TVC results of Weitzman (1973, Manage. Sci. 19, 783--789) and Ekeland and Scheinkman (1986, Math. Oper. Res. 11, 216--229), and (iii) Kamihigashi's...

This note provides a simple proof of the necessity of the transversality condition for the differentiable reduced-form model. The proof uses only an elementary perturbation argument without relying on dynamic programming. The proof makes it clear that, contrary to common belief, the necessity of...

This paper shows that the standard transversality condition (STVC) is necessary for optimality for stochastic models with constant-relative-risk-aversion (CRRA) utility under general conditions. We consider an infinite-horizon stochastic maximization problem that takes a general form of...

This note provides a simple proof of the necessity of the transversality condition for the differentiable reduced-form model. The proof uses only an elementary perturbation argument without relying on dynamic programming. The proof makes it clear that, contrary to common belief, the necessity of...