CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT-SALE CONSTRAINTS - THE INFINITE DIMENSIONAL CASE

被引：190

作者：

HE, H ^{[1
]}

PEARSON, ND ^{[1
]}

机构：

[1] UNIV ROCHESTER,SIMON GRAD SCH BUSINESS ADM,ROCHESTER,NY 14627

来源：

JOURNAL OF ECONOMIC THEORY | 1991年 / 54卷 / 02期

关键词：

D O I：

10.1016/0022-0531(91)90123-L

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We employ a martingale approach to study a dynamic consumption-portfolio problem in continuous time with incomplete markets and short-sale constraints. We introduce a notion of minimax local martingale and transform the dynamic problem into a static problem of maximizing expected utility over the consumption bundles that satisfy a single budget constraint formed using that measure. We establish the existence of and characterize the minimax local measure, provide sufficient conditions for the dynamic consumption-portfolio problem to have a solution, and relate the optimal policies to the solution of quasi-linear partial differential equation. © 1991.

引用

页码：259 / 304

页数：46

共 37 条

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