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
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.
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