Krsnik, Simon: Consumption selection on incomplete markets. 2011
Inhalt
- Introduction
- The Model
- Utility Maximization
- Process Duality and the Filtered Bipolar Theorem
- Properties of the Market
- Proofs of the Main Theorems in Section 2
- Optimal Consumption Choice
- Constrained Consumption Selection
- Investors Consumption Choice
- Two Benchmark Cases
- Consumption Selection under Constraints
- A Duality Approach
- Proofs of the Main Theorems in Section 4
- Applications I: Complete Markets and Artificial Markets
- Time-Separable Utility
- Selected Complete Markets
- Artificial Markets and Secondary Topics in Duality Theory
- Proofs of the Main Theorems in Section 5
- Applications II: Consumption Ratcheting
- The Problem of Consumption Ratcheting
- Duality Theory for Non-decreasing Consumption Selection
- Beyond Consumption Ratcheting
- Proofs of the Main Theorems in Section 6
- Concluding Remarks