Hajivassiliou, Vassilis and Ioannides, Yannis (1996) Duality and liquidity constraints under uncertainty. Journal of Economic Dynamics and Control, 20 (6-7). pp. 1177-1192. ISSN 0165-1889
Abstract
A dual approach to the problem of maximizing lifetime utility subject to liquidity constraints in discrete time leads to a dual dynamic programming formulation which links commodity and asset demand theory under uncertainty with Frisch demand theory. We establish the existence of a threshold level of wealth, that characterizes constrained behavior. We explore the power of the dual approach for empirical work.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/01651... |
| Additional Information: | © 1996 Elsevier Science B.V. |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | D - Microeconomics > D1 - Household Behavior and Family Economics > D12 - Consumer Economics: Empirical Analysis D - Microeconomics > D9 - Intertemporal Choice and Growth > D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
| Sets: | Collections > Economists Online Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Date Deposited: | 09 May 2008 13:45 |
| URL: | http://eprints.lse.ac.uk/4789/ |
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