[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
  EconPapers    
Economics at your fingertips  
 

An intertemporal model of consumption and portfolio allocation

Hans Andersson, Buddhavarapu Sailesh Ramamurtie and Bharat Ramaswami

No 95-15, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: We develop an infinite time horizon, continuous time model of portfolio choice and consumption allocation for an investor seeking to maximize the expected utility of his life-time consumption. In this model, the investor is endowed with capital that can be invested in long-lived capital assets and has, in addition, a stochastic stream of cash flows that could be interpreted as either a wage income stream or a stochastic endowment flow. We obtain a complete and original solution to the consumption-portfolio choice problem for the negative exponential and quadratic utility functions and special case solutions for the general power and log utility functions. The results obtained in this paper have significant implications for the theory of asset prices, the theory of mutual funds, optimal portfolio strategies of investors, and so forth. The results of the model can also be easily extended to one with a finite time horizon.

Keywords: Consumption; (Economics) (search for similar items in EconPapers)
Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.atlantafed.org/-/media/documents/resea ... s/wp/1995/wp9515.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:95-15

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Rob Sarwark ().

 
Page updated 2024-12-22
Handle: RePEc:fip:fedawp:95-15