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Consumption processes and positively homogeneous projection properties

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  • Tom Fischer

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Suggested Citation

  • Tom Fischer, 2008. "Consumption processes and positively homogeneous projection properties," Finance and Stochastics, Springer, vol. 12(3), pages 357-380, July.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:357-380
    DOI: 10.1007/s00780-008-0064-x
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    References listed on IDEAS

    as
    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    2. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
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    More about this item

    Keywords

    Consumption strategies; Income drawdown; log-Lévy processes; Martingale consumption; Positive homogeneity; Smooth bonus; E21; G22; G23; 91B28; 93E99;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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