Cookies?
Library Header Image
LSE Research Online LSE Library Services

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

Full text not available from this repository.

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)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 09 May 2008 13:45
URL: http://eprints.lse.ac.uk/4789/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only