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Optimal consumption and asset allocation with unknown income growth

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Cited by:

  1. Dew-Becker, Ian & Nathanson, Charles G., 2019. "Directed attention and nonparametric learning," Journal of Economic Theory, Elsevier, vol. 181(C), pages 461-496.
  2. Jang, Bong-Gyu & Kim, Kyeong Tae, 2015. "Optimal reinsurance and asset allocation under regime switching," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 37-47.
  3. repec:fip:fedreq:y:2011:i:3q:p:255-326:n:vol.97no.3 is not listed on IDEAS
  4. Fatih Guvenen, 2011. "Macroeconomics with hetereogeneity : a practical guide," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(3Q), pages 255-326.
  5. Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
  6. Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
  7. Wang, Haijun, 2016. "Precautionary saving demand and consumption dynamics with the spirit of capitalism and regime switching," Journal of Mathematical Economics, Elsevier, vol. 64(C), pages 48-65.
  8. Dandan Song & Zhaojun Yang, 2014. "Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 1-26, June.
  9. Yulei Luo & Jun Nie & Haijun Wang, 2023. "Ambiguous Consumption and Asset Allocation with Unknown Markovian Income Growth," Annals of Economics and Finance, Society for AEF, vol. 24(2), pages 237-275, November.
  10. Yongsung Chang & Jay H. Hong & Marios Karabarbounis, 2018. "Labor Market Uncertainty and Portfolio Choice Puzzles," American Economic Journal: Macroeconomics, American Economic Association, vol. 10(2), pages 222-262, April.
  11. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
  12. Luo, Yulei & Nie, Jun & Young, Eric, 2017. "Robustness, Low Risk-Free Rates, and Consumption Volatility in General Equilibrium," MPRA Paper 80046, University Library of Munich, Germany.
  13. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
  14. Song, Dandan & Wang, Huamao & Yang, Zhaojun, 2014. "Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 1-11.
  15. Altantsetseg Batchuluun & Yulei Luo & Eric R. Young, 2019. "Portfolio Choice with Information-Processing Limits," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 137-162, May.
  16. Hou, Shehong & Niu, Yingjie & Yang, Jinqiang, 2018. "Optimal consumption-portfolio rules with biased beliefs," Economics Letters, Elsevier, vol. 173(C), pages 152-157.
  17. Serrano, Rafael, 2023. "Climbing the income ladder: Search and investment in a regime-switching affine income model," Finance Research Letters, Elsevier, vol. 58(PA).
  18. Lijuan Xu & Abbas Ali Chandio & Jingyi Wang & Yuansheng Jiang, 2022. "Does Farmland Tenancy Improve Household Asset Allocation? Evidence from Rural China," Land, MDPI, vol. 12(1), pages 1-22, December.
  19. Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Optimal consumption and savings with stochastic income and recursive utility," Journal of Economic Theory, Elsevier, vol. 165(C), pages 292-331.
  20. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Household Lifetime Strategies under a Self-Contagious Market," European Journal of Operational Research, Elsevier, vol. 288(3), pages 935-952.
  21. Luo, Yulei & Nie, Jun & Young, Eric, 2015. "Robust Permanent Income in General Equilibrium," MPRA Paper 63985, University Library of Munich, Germany.
  22. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 508-524.
  23. Huang, Wenli & Liu, Bo & Wang, Hongli & Yang, Jinqiang, 2019. "Dynamic optimal investment policy under incomplete information," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  24. Morita, Hiroshi & Okimoto, Tatsuyoshi, 2021. "The interest rate determination when economic variables are partially observable," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  25. Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael, 2021. "Optimal control of investment, premium and deductible for a non-life insurance company," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 384-405.
  26. Yulei Luo, 2017. "Robustly Strategic Consumption–Portfolio Rules with Informational Frictions," Management Science, INFORMS, vol. 63(12), pages 4158-4174, December.
  27. Xiaoyu Deng & Jing Tian & Rong Chen, 2019. "Effect of Social Security System on Consumption through Income and Uncertainty: Evidence from China," Sustainability, MDPI, vol. 11(7), pages 1-16, March.
  28. Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
  29. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
  30. Li, Wenyuan & Tan, Ken Seng & Wei, Pengyu, 2021. "Demand for non-life insurance under habit formation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 38-54.
  31. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
  32. Yulei Luo & Jun Nie & Heng-fu Zou, 2021. "Wealth in the Utility Function and Consumption Inequality," Research Working Paper RWP 21-17, Federal Reserve Bank of Kansas City.
  33. Chen, Shumin & Luo, Dan & Yao, Haixiang, 2024. "Optimal investor life cycle decisions with time-inconsistent preferences," Journal of Banking & Finance, Elsevier, vol. 161(C).
  34. Wang, Yuanping & Wang, Dongfang & Hou, Chunxiao, 2022. "Information acquisition and asset allocation with unknown income growth," Economics Letters, Elsevier, vol. 213(C).
  35. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  36. Luo, Yulei & Nie, Jun & Wang, Haijun, 2022. "Ignorance, pervasive uncertainty, and household finance," Journal of Economic Theory, Elsevier, vol. 199(C).
  37. Huang, Wenli & Liu, Wenqiong & Lu, Lei & Mu, Congming, 2023. "Hedge funds trading strategies and leverage," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
  38. Zhang, Wenlong & Wang, Haijun, 2021. "Entrepreneurial decisions with idiosyncratic risk and unknown profitability," Economic Modelling, Elsevier, vol. 103(C).
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