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• W3124163886 abstract "We consider the lifetime consumption-portfolio problem in a competitive securities market with essentially arbitrary continuous price dynamics, and convex trading constraints (e.g., incomplete markets and short-sale constraints). Abstract first-order conditions of optimality are derived, based on a preference-independent notion of constrained state pricing. For homothetic generalized recursive utility, we derive closed-form solutions for the optimal consumption and trading strategy in terms of the solution to a single constrained BSDE. Incomplete market solutions are related to complete markets solutions with modified risk aversion towards non-marketed risk. Methodologically, we develop the utility gradient approach, but for the homothetic case we also verify the solution using the dynamic programming approach, without having to assume a Markovian structure. Finally, we present a class of parametric examples in which the BSDE characterizing the solution reduces to a system of Riccati equations." @default.
• W3124163886 created "2021-02-01" @default.
• W3124163886 creator A5062563279 @default.
• W3124163886 creator A5071769192 @default.
• W3124163886 date "2003-12-01" @default.
• W3124163886 modified "2023-10-18" @default.
• W3124163886 title "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences" @default.
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• W3124163886 doi "https://doi.org/10.1016/j.spa.2003.09.001" @default.
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