Infinite horizon allocation with consumption-dependent utility
نویسندگان
چکیده
We consider an economy in which there is an infinite stream of pies, each of size one, one in every period. For each agent, the per-period utility function, which is defined on that period’s consumption, is determined by the previous period’s consumption. We describe specifications of this model for which no symmetric, efficient, and monotonic way to allocate pies exists.
منابع مشابه
Stochastic Portfolio Optimization with Log Utility
A portfolio optimization problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to an ergodic Markov diffusion process. Moreover, the interest rate fluctuation is correlated with the risky asset price fluctuation. The goal is to choose optimal investment and consumption policies to maximize the infinite ho...
متن کاملInfinite horizon optimal control of forward-backward stochastic differential equations with delay
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in infinite horizon are derived. We illustrate our results by an application to a problem of optimal consumption with respect to recursive utility from a cash fl...
متن کاملIntertemporal Investment Strategies under Inflation Risk
This paper studies intertemporal investment strategies under inflation risk by extending Merton’s intertemporal framework (1973) to include a stochastic price index. The stochastic price index gives rise to both real and nominal terms of valuation: agents maximize their utility of consumption in real terms while investment activities and wealth evolution are evaluated in nominal terms. We inclu...
متن کاملAn Optimal Consumption-Investment Model with Constraint on Consumption
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linearly depends on the investor’s wealth and bankruptcy is prohibited. The invest...
متن کاملResource Allocation and Control in Communication and Cyberphysical Networks with Renewable Energy
Renewable energy sources, such as solar and wind power, have been widely used in various forms of networks, which include both communication networks and the smart power grid. Since the renewable energy is usually highly fluctuating, the temporal and spatial dynamics of such sources are often difficult to model and predict. This makes it extremely challenging to incorporate and operate such ene...
متن کامل