Optimal Consumption and Investment with Cointegrated Stock and Housing Markets

2020 ◽  
Author(s):  
Yingshan Chen ◽  
Min Dai ◽  
Shan Huang ◽  
Hong Liu
Keyword(s):  
Housing Markets ◽  
Optimal Consumption ◽  
Optimal Consumption And Investment

Deterministic mean-variance-optimal consumption and investment

Stochastics ◽  
2013 ◽  
Vol 85 (4) ◽  
pp. 620-636 ◽  
Author(s):  
Marcus Christiansen ◽  
Mogens Steffensen
Keyword(s):  
Optimal Consumption ◽  
Optimal Consumption And Investment ◽  
Mean Variance

scholarly journals State-Dependent Utility

2009 ◽  
Vol 46 (1) ◽  
pp. 55-70 ◽  
Author(s):  
Jaime A. Londoño
Keyword(s):  
General Setting ◽  
Optimal Consumption ◽  
Investment Strategies ◽  
Economic Agents ◽  
State Dependent ◽  
Portfolio Problem ◽  
Functional Forms ◽  
Secondary Result ◽  
The One ◽  
Optimal Consumption And Investment

We propose a new approach to utilities in (state) complete markets that is consistent with state-dependent utilities. Full solutions of the optimal consumption and portfolio problem are obtained in a very general setting which includes several functional forms for utilities used in the current literature, and consider general restrictions on allowable wealths. As a secondary result, we obtain a suitable representation for straightforward numerical computations of the optimal consumption and investment strategies. In our model, utilities reflect the level of consumption satisfaction of flows of cash in future times as they are (uniquely) valued by the market when the economic agents are making their consumption and investment decisions. The theoretical framework used for the model is the one proposed in Londoño (2008). We develop the martingale methodology for the solution of the problem of optimal consumption and investment in this setting.

Optimal Consumption and Investment under Time-Varying Liquidity Constraints

2018 ◽  
Vol 54 (4) ◽  
pp. 1643-1681 ◽  
Author(s):  
Seryoong Ahn ◽  
Kyoung Jin Choi ◽  
Byung Hwa Lim
Keyword(s):  
Liquidity Constraints ◽  
Investment Decisions ◽  
Empirical Literature ◽  
Optimal Consumption ◽  
Time Varying ◽  
Optimal Policies ◽  
Income Ratio ◽  
Optimal Consumption And Investment

We study consumption and investment decisions given realistic time-varying constraints on borrowing. We first consider the case where borrowing is constrained by a maximum debt-to-income ratio. We then consider collateral borrowing with a maximum loan-to-value ratio. The resulting implications for optimal policies differ considerably from those obtained in the existing literature based on fixed borrowing limits but are consistent with those documented in the empirical literature.

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