Essays in financial economics

Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1990.Includes bibliographical references.by Ayman M. Hindy.Ph.D

On intertemporal preferences with a continuous time dimension II : the case of uncertainty

"March 1989. -- Rev. July 1990."--P. 1

Optimal consumption and portfolio rules with durability and local substitution

"November 1989, Revised November 1991.

Optimal consumption and portfolio rules with local substitution

"May 1991.

Optimal consumption with intertemporal substitution I : the case of certainty

"October 1989--Revised March 1990."--P. [2]

Optimal Consumption and Portfolio Rules with Durability and Local Substitution.

A model of optimal consumption and portfolio choice that captures the notions of local substitution and irreversible purchases of durable goods is studied. Necessary and sufficient conditions for a consumption and portfolio policy to be optimal are provided. A closed-form solution of the optimal consumption and portfolio policy is given. The optimal consumption policy consists of a possible initial "gulp" of consumption, or a period of no consumption, followed.by a process of accumulated consumption with singular sample paths. The equilibrium risk premium in a representative investor economy with a single physical production technology is computed. Copyright 1993 by The Econometric Society.

On intertemporal preferences for uncertain consumption : a continuous time approach

Title from cover."March 1989. Revised May 1991"--P. 1