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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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Identification Number: 10.1016/0165-1889(95)00894-2


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:
Additional Information: © 1996 Elsevier Science B.V.
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: 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
Last Modified: 20 Feb 2021 03:20

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