FEASIBILITY AND TRANSVERSALITY CONDITIONS FOR MODELS OF PORTFOLIO CHOICE WITH NONEXPECTED UTILITY IN CONTINUOUS-TIME

Authors
SMITH WT
Citation
Wt. Smith, FEASIBILITY AND TRANSVERSALITY CONDITIONS FOR MODELS OF PORTFOLIO CHOICE WITH NONEXPECTED UTILITY IN CONTINUOUS-TIME, Economics letters, 53(2), 1996, pp. 123-131
Citations number
12
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
53
Issue
2
Year of publication
1996
Pages
123 - 131
Database
ISI
SICI code
0165-1765(1996)53:2<123:FATCFM>2.0.ZU;2-S
Abstract
This note explores the feasibility and transversality conditions for t he continuous-time consumption-portfolio problem with generalized isoe lastic (GIE) preferences. Unlike the case of time-separable preference s, the transversality condition usually is neither necessary nor suffi cient for the feasibility condition to be satisfied. Furthermore, ordi nally equivalent representations of GIE preferences produce different transversality conditions.