Article ID Journal Published Year Pages File Type
5059681 Economics Letters 2012 4 Pages PDF
Abstract
► Generalizes Dybvig's (1995) result on portfolio selection. ► Investigates optimal portfolio of an agent not tolerating a consumption decline. ► Shows it does not depend on the felicity function locally when she keeps consumption constant. ► Derives the result without the assumption of a homothetic utility function.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption
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