Title: Consumption and portfolio decisions with labor income and borrowing constraints
Abstract: The authors develop a duality approach to study intertemporal consumption and portfolio decisions when an individual has limited opportunities to borrow against future labor income and cannot totally insure the risk of income fluctuations. An individual's optimal consumption-portfolio problem is cast in continuous-time under both certainty and uncertainty frameworks. The duality approach makes it possible to characterize in a simple way the individual's optimal consumption and portfolio policies when there are labor income and borrowing constraints. Sufficient conditions for the existence of a solution to the individual's consumption and portfolio problem are established, and the optimal consumption and portfolio policies are analyzed via duality.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>
Publication Year: 2002
Publication Date: 2002-12-09
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 48
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot