An investor is faced with several investment alternatives. Any investment plan induces a vector of consumption where the consumption in each period is a random variable. Obviously, the optimal vector of consumption is determined by the multi-period utility function. However, in most cases we have no information on the investor's preference, and hence we cannot choose the optimal consumption strategy. Assuming that the multi-period utility function is nondecreasing we establish a decision rule which divides the feasible set of consumption strategies into two sets: the "efficient set" and the "inefficient set." Thus, in the second step each investor selects the optimal consumption strategy from the efficient set according to his preference.
The explicit consideration of certain types of uncertainty, in the analysis of investment opportunit...
The explicit consideration of certain types of uncertainty, in the analysis of investment opportunit...
This dissertation contains an analysis of investment decisions as choice under uncertainty. Investme...
In this article we investigate three related investment-consumption problems for a risk-averse inves...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
This paper shows how we might expect a rational consumer to decide upon his consumption plans in two...
We reconsider the optimal consumption choice of investors who do not tolerate any decline in their c...
This paper considers a max-min formulation of multistage optimal investment and consumption problems...
We study single period asset allocation problems of the investor who maxi-mizes the expected utility...
We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utili...
What does utility maximization subject to a budget constraint imply for intertemporal choice under u...
This paper suggests an alternative to the weighted average utility maximization as a criterion for m...
We study dynamic optimal consumption and portfolio choice for a setting in which the mean returns of...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
The explicit consideration of certain types of uncertainty, in the analysis of investment opportunit...
The explicit consideration of certain types of uncertainty, in the analysis of investment opportunit...
This dissertation contains an analysis of investment decisions as choice under uncertainty. Investme...
In this article we investigate three related investment-consumption problems for a risk-averse inves...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
This paper shows how we might expect a rational consumer to decide upon his consumption plans in two...
We reconsider the optimal consumption choice of investors who do not tolerate any decline in their c...
This paper considers a max-min formulation of multistage optimal investment and consumption problems...
We study single period asset allocation problems of the investor who maxi-mizes the expected utility...
We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utili...
What does utility maximization subject to a budget constraint imply for intertemporal choice under u...
This paper suggests an alternative to the weighted average utility maximization as a criterion for m...
We study dynamic optimal consumption and portfolio choice for a setting in which the mean returns of...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
The explicit consideration of certain types of uncertainty, in the analysis of investment opportunit...
The explicit consideration of certain types of uncertainty, in the analysis of investment opportunit...
This dissertation contains an analysis of investment decisions as choice under uncertainty. Investme...