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Investment and Consumption in a Multi-period Framework

In: Asset Pricing A Structural Theory and Its Applications

Author

Listed:
  • Bing Cheng

    (Chinese Academy of Science, China)

  • Howell Tong

    (London School of Economics, UK)

Abstract

The following sections are included:Review of Merton's Asset Pricing ModelOptimal Decisions of Investment and ConsumptionMartingale approach to the asset pricing model without consumption habit constraintsMartingale approach to the asset pricing model with consumption habitOptimal Investment BehaviorConclusions

Suggested Citation

  • Bing Cheng & Howell Tong, 2008. "Investment and Consumption in a Multi-period Framework," World Scientific Book Chapters, in: Asset Pricing A Structural Theory and Its Applications, chapter 4, pages 57-69, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812832504_0004
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