Duality and liquidity constraints under uncertainty

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

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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.
Uncontrolled Keywords:	Duality; Frisch demands; Liquidity constraints
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)
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
URL:	http://eprints.lse.ac.uk/4789/

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