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• W1998949156 abstract "This article studies an intertemporal economy with liquidity constrained and unconstrained individuals. We use a stopping time approach to solve the finite horizonconstrained consumption portfolio problem with constant relative risk aversion and to examine the structure of equilibrium. The impact of the constraint on the optimal consumption and the financing portfolio is assessed. The equilibrium state price density is related to the exercise boundary of an American-style contingent claim with nonlinear payoff. This stopping time characterization enables us to prove the existence of an equilibrium and can be implemented numerically. Properties of equilibrium bond and stock returns are examined." @default.
• W1998949156 created "2016-06-24" @default.
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• W1998949156 date "2003-04-01" @default.
• W1998949156 modified "2023-10-03" @default.
• W1998949156 title "Dynamic Equilibrium with Liquidity Constraints" @default.
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• W1998949156 doi "https://doi.org/10.1093/rfs/hhg003" @default.
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