Optimal Consumption for Recursive Preferences with Local Substitution under Risk
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arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866917774646837248 |
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| author | Li, Hanwu Riedel, Frank |
| author_facet | Li, Hanwu Riedel, Frank |
| contents | We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and uniqueness of the optimal consumption plan. We present an infinite-dimensional version of the Kuhn-Tucker theorem, which provides the necessary and sufficient conditions for optimality. Additionally, we investigate quantitative properties and the construction of the optimal consumption plan. Finally, we offer a detailed description of the structure of optimal consumption within a geometric Poisson framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_07799 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal Consumption for Recursive Preferences with Local Substitution under Risk Li, Hanwu Riedel, Frank Optimization and Control We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and uniqueness of the optimal consumption plan. We present an infinite-dimensional version of the Kuhn-Tucker theorem, which provides the necessary and sufficient conditions for optimality. Additionally, we investigate quantitative properties and the construction of the optimal consumption plan. Finally, we offer a detailed description of the structure of optimal consumption within a geometric Poisson framework. |
| title | Optimal Consumption for Recursive Preferences with Local Substitution under Risk |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2409.07799 |