create a website

A portfolio choice problem under risk capacity constraint. (2022). Zhu, Zimu ; Tian, Weidong.
In: Annals of Finance.
RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-021-00404-5.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 36

References cited by this document

Cocites: 58

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint. (2023). Zhu, Zimu ; Tian, Weidong.
    In: Papers.
    RePEc:arx:papers:2210.01016.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahn, S., Choi, K., Lim, B.: Optimal consumption and investment under time-varying liquidity constraints. J Financ Quant Anal 54, 1643–1681 (2019).

  2. Bakshi, G., Chen, Z.: The spirit of capitalism and stock market prices. Am Econ Rev 86, 133–157 (1996).

  3. Bengen, W.: Determining withdrawal rates using historical data. J Financ Plan 7, 171–180 (1994).
    Paper not yet in RePEc: Add citation now
  4. Benzoni, L., Collin-Dufresne, P., Goldstein, R.: Portfolio choice over the life-cycle when the stock and labor markets are cointegrated. J Finance 62, 2123–2167 (2007).

  5. Bismut, J.-M.: Growth and optimal intertemporal allocation of risks. J Econ Theory 10, 239–257 (1975).

  6. Black, F., Perold, A.: Theory of constant proportion portfolio insurance. J Econ Dyn Control 16, 403–426 (1992).

  7. Blanchet-Scaillet, C., El Karouri, N., Jeanblanc, M., Martellini, L.: Optimal investment decisions when time-horizon is uncertain. J Math Econ 44, 1100–1113 (2008).

  8. Bodie, Z., Detemple, J., Rindisbacher, R.: Life cycle finance and the design of pension plans. Annu Rev Financ Econ 1, 249–285 (2009).

  9. Bodie, Z., Merton, R., Samuelson, W.: Labor supply flexibility and portfolio choice in a life cycle model. J Econ Dyn Control 16, 427–449 (1992).

  10. Carroll, C., Kimball, M.: On the concavity of the consumption function. Econometrica 64, 981–992 (1996).

  11. Carroll, C.: Buffer-stock saving and the life cycle/permanent income hypothesis. Q J Econ 112, 1–55 (1997).

  12. Carroll, C.: Why do the rich saves so much? In: Slemrod, J.B. (ed.) Does Atlas Shrug? The Economic Consequences of Taxing the Rich. Cambridge: Harvard University Press (2002).
    Paper not yet in RePEc: Add citation now
  13. Chen, S., Fu, R., Zhou, Z.: Consumption and portfolio decisions with uncertain lifetimes. Math Financ Econ 14, 507–545 (2020).
    Paper not yet in RePEc: Add citation now
  14. Chen, X., Tian, W.: Optimal portfolio choice and consistent performance. Decis Econ Financ 37(2), 454–474 (2014).

  15. Cocco, J., Gomes, F., Maenhout, P.J.: Consumption and portfolio choices over the life-cycle. Rev Financ Stud 18, 491–533 (2005).
    Paper not yet in RePEc: Add citation now
  16. Dybvig, P., Liu, H.: Lifetime consumption and investment: retirement and constrained borrowing. J Econ Theory 145, 885–907 (2010).

  17. Dybvig, P.: Duesenberry’s ratcheting of consumption: optimal dynamic consumption and investment given intolerance for any decline in standard of living. Rev Econ Stud 62, 287–313 (1995).

  18. El Karoui, N., Jeanblanc-Picque, M.: Optimization of consumption with labor income. Finance Stoch 2, 409–440 (1998).

  19. Elie, R., Touzi, N.: Optimal lifetime consumption and investment under a drawdown constraint. Finance Stoch 12, 299–330 (2008).

  20. Fleming, W.H., Soner, H.M.: Controlled Markov Processes and Viscosity Solutions, 2nd edn. Stochastic Modeling and Applied Probability, (25). Berlin: Springer (2006).
    Paper not yet in RePEc: Add citation now
  21. Gomes, F.J., Michaelides, A.: Optimal life-cycle asset allocation: understanding the empirical evidence. J Finance 60, 869–904 (2005).

  22. Grossman, S., Vila, J.: Optimal dynamic trading strategies with leverage constraints. J Financ Quant Anal 27, 151–168 (1992).

  23. Karatzas, I., Shreve, S.: Methods of Mathematical Finance, Applications of Mathematics (39). Berlin: Springer (1998).
    Paper not yet in RePEc: Add citation now
  24. King, A., Billingham, J., Otto, S.: Differential Equations: Linear, Nonlinear, Ordinary, Partial. Cambridge: Cambridge University Press (2003).
    Paper not yet in RePEc: Add citation now
  25. Liu, H., Loewenstein, M.: Optimal portfolio selection with transaction costs and finite horizons. Rev Financ Stud 15, 805–835 (2002).

  26. Malkiel, B.: A Random Walk Down Wall Street. New York: Norton & Company Inc (1999).
    Paper not yet in RePEc: Add citation now
  27. Merton, R.C.: Optimum consumption and portfolio rules in a continuous time model. J Econ Theory 3, 373–413 (1971).

  28. Modigliani, F.: Life cycle, individual thrift, and the wealth of nations. Am Econ Rev 76, 297–313 (1986).

  29. Ottaviani, M., Sotensen, P.: Price reaction to information with heterogeneous beliefs and wealth effects: underreaction, momentum, and reversal. Am Econ Rev 105, 1–34 (2015).

  30. Smith, W.: How does the spirit of capitalism affect stock market prices? Rev Financ Stud 14(4), 1215–1232 (2001).

  31. Strulovici, B., Szydlowski, M.: On the smoothness of value functions and the existence of optimal strategies in diffusion models. J Econ Theory 159, 1016–1055 (2015).

  32. Vila, J., Zariphopoulou, T.: Optimal consumption and portfolio choice with borrowing constraints. J Econ Theory 77, 402–431 (1997).

  33. Wachter, J., Yogo, M.: Why do household portfolio shares rise in wealth? Rev Financ Stud 23, 3929–65 (2010).

  34. Xu, Z., Yi, F.: An optimal consumption investment model with constraint on consumption. Math Control Relat Fields 6(3), 517–534 (2016).
    Paper not yet in RePEc: Add citation now
  35. Yogo, M.: Portfolio choice in retirement: health risk and the demand of annuities, housing, and risky assets. J Monet Econ 80, 17–34 (2016).

  36. Zariphopoulou, T.: Consumption and investment models with constraints. SIAM J Control Optim 32, 59–85 (1994).
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Optimal chonsei to monthly rent conversion choice given borrowing constraints. (2024). Ahn, Seryoong ; Ryu, Doojin.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:93:y:2024:i:c:p:28-42.

    Full description at Econpapers || Download paper

  2. Personal bankruptcy and post-bankruptcy liquidity constraint. (2023). Lee, Ho-Seok ; Lim, Byung Hwa.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:152:y:2023:i:c:s0378426623000857.

    Full description at Econpapers || Download paper

  3. Optimal job switching and retirement decision. (2023). Park, Kyunghyun ; Jeon, Junkee.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008451.

    Full description at Econpapers || Download paper

  4. Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint. (2023). Zhu, Zimu ; Tian, Weidong.
    In: Papers.
    RePEc:arx:papers:2210.01016.

    Full description at Econpapers || Download paper

  5. A portfolio choice problem under risk capacity constraint. (2022). Zhu, Zimu ; Tian, Weidong.
    In: Annals of Finance.
    RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-021-00404-5.

    Full description at Econpapers || Download paper

  6. A Portfolio Choice Problem Under Risk Capacity Constraint. (2021). Zhu, Zimu ; Tian, Weidong.
    In: Papers.
    RePEc:arx:papers:2005.13741.

    Full description at Econpapers || Download paper

  7. Optimal retirement with borrowing constraints and forced unemployment risk. (2020). Park, Seyoung ; Zhao, Huainan ; Jang, Bong-Gyu.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:94:y:2020:i:c:p:25-39.

    Full description at Econpapers || Download paper

  8. Business Cycles with Spirit of Capitalism and Conspicuous Consumption in a Multi-Country Growth Model. (2017). Zhang, Wei-Bin.
    In: International Business Research.
    RePEc:ibn:ibrjnl:v:10:y:2017:i:8:p:58-71.

    Full description at Econpapers || Download paper

  9. Economic backwardness and social tension. (2015). Brunnschweiler, Christa ; Lujala, Paivi.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
    RePEc:uea:aepppr:2012_72.

    Full description at Econpapers || Download paper

  10. Inequality and growth: the perverse relation between the procuctive and the non-productive assets of the economy. (2015). Patriarca, Fabrizio ; Gaffard, Jean-Luc ; Amendola, Mario.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/4ip86c7fo58bj979c67ml0ohqh.

    Full description at Econpapers || Download paper

  11. Model Uncertainty, the Spirit of Capitalism and Asset Pricing. (2015). .
    In: MPRA Paper.
    RePEc:pra:mprapa:62421.

    Full description at Econpapers || Download paper

  12. Inequality and Growth : the perverse relation between the productivity and the non-productive assets of the economy.. (2015). Patriarca, Fabrizio ; Gaffard, Jean-Luc ; Amendola, Mario.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1528.

    Full description at Econpapers || Download paper

  13. Equity premia and state-dependent risks. (2015). Normandin, Michel ; Bouaddi, Mohammed ; Larocque, Denis.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:38:y:2015:i:c:p:393-409.

    Full description at Econpapers || Download paper

  14. The economics of aesthetics and record prices for art since 1701. (2015). Spaenjers, Christophe ; Goetzmann, William ; Mamonova, Elena .
    In: Explorations in Economic History.
    RePEc:eee:exehis:v:57:y:2015:i:c:p:79-94.

    Full description at Econpapers || Download paper

  15. Utility from bequeathing savings or Utility from accumulating in the Ramsey growth model. (2014). Khelifi, Atef.
    In: MPRA Paper.
    RePEc:pra:mprapa:60125.

    Full description at Econpapers || Download paper

  16. The Economics of Aesthetics and Three Centuries of Art Price Records. (2014). Spaenjers, Christophe ; Goetzmann, William ; Mamonova, Elena .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20440.

    Full description at Econpapers || Download paper

  17. The spirit of capitalism among the income classes. (2014). Voyer, John ; Smoluk, H. J..
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:1:p:1-9.

    Full description at Econpapers || Download paper

  18. Composition of wealth, conditioning information, and the cross-section of stock returns. (2014). Roussanov, Nikolai.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:111:y:2014:i:2:p:352-380.

    Full description at Econpapers || Download paper

  19. Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond. (2013). Blackburn, Douglas W. ; Ukhov, Andrey D..
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:2:p:470-484.

    Full description at Econpapers || Download paper

  20. Asset pricing with heterogeneous beliefs and relative performance. (2013). Tang, Ke ; Qiu, Zhigang ; Huang, Shiyang ; Shang, QI.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4107-4119.

    Full description at Econpapers || Download paper

  21. Peer performance and stock market entry. (2012). Knüpfer, Samuli ; Knpfer, Samuli ; Kaustia, Markku.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:104:y:2012:i:2:p:321-338.

    Full description at Econpapers || Download paper

  22. News Shocks, Productivity and the U.S. Investment Boom-Bust Cycle. (2012). Karnizova, Lilia.
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:12:y:2012:i:1:n:15.

    Full description at Econpapers || Download paper

  23. Asset Prices and Hyperbolic Discounting. (2011). zou, heng-fu ; Gong, Liutang ; Smith, William.
    In: CEMA Working Papers.
    RePEc:cuf:wpaper:486.

    Full description at Econpapers || Download paper

  24. Optimal investment strategies with a reallocation constraint. (2010). Soner, H. ; Egriboyun, Feyzullah.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:71:y:2010:i:3:p:551-585.

    Full description at Econpapers || Download paper

  25. Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns. (2010). Roussanov, Nikolai.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16073.

    Full description at Econpapers || Download paper

  26. Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax. (2010). Seymore, Reyno ; Mabugu, Margaret ; Semenov, Andrei.
    In: EcoMod2010.
    RePEc:ekd:002596:259600155.

    Full description at Econpapers || Download paper

  27. Do subjective expectations explain asset pricing puzzles?. (2010). Skoulakis, Georgios ; Bakshi, Gurdip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:3:p:462-477.

    Full description at Econpapers || Download paper

  28. Wealth and the capitalist spirit. (2009). Francis, Johanna.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:31:y:2009:i:3:p:394-408.

    Full description at Econpapers || Download paper

  29. The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy. (2009). Fernandez, Pablo ; Aguirreamalloa, Javier ; Liechtenstein, Heinrich.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0821.

    Full description at Econpapers || Download paper

  30. Wealth and the Capitalist Spirit. (2008). Francis, Johanna.
    In: Fordham Economics Discussion Paper Series.
    RePEc:frd:wpaper:dp2008-10.

    Full description at Econpapers || Download paper

  31. Growth, Stagnation and Status Preference. (2008). Ono, Yoshiyasu ; Murota, Ryu-ichiro.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:0715.

    Full description at Econpapers || Download paper

  32. Wealth Shocks and Risk Aversion. (2007). Sousa, Ricardo.
    In: NIPE Working Papers.
    RePEc:nip:nipewp:28/2007.

    Full description at Econpapers || Download paper

  33. The spirit of capitalism, asset pricing and growth in a small open economy. (2007). Kenc, Turalay ; Dibooglu, Selahattin.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:8:p:1378-1402.

    Full description at Econpapers || Download paper

  34. Asset Prices and Hyperbolic Discounting. (2007). zou, heng-fu ; Gong, Liutang ; Smith, William.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2007:v:8:i:1:p:397-414.

    Full description at Econpapers || Download paper

  35. Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals Asset Allocation. (2006). Nagel, Stefan ; Brunnermeier, Markus.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12809.

    Full description at Econpapers || Download paper

  36. High-Order Consumption Moments and Asset Pricing. (2005). Semenov, Andrei.
    In: Working Papers.
    RePEc:yca:wpaper:2003_4.

    Full description at Econpapers || Download paper

  37. Market Oganization and the prices of financial Assets. (2005). Constantinides, George.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:49.

    Full description at Econpapers || Download paper

  38. Closing International Real Business Cycle Models with Restricted Financial Markets. (2005). Normandin, Michel ; Boileau, Martin.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0506.

    Full description at Econpapers || Download paper

  39. Direct Preference for Wealth in Aggregate Household Portfolio. (2005). St-Amour, Pascal.
    In: Cahiers de Recherches Economiques du Département d'économie.
    RePEc:lau:crdeep:05.04.

    Full description at Econpapers || Download paper

  40. Closing International Real Business Cycle Models with Restricted Financial Markets. (2005). Normandin, Michel ; Boileau, Martin.
    In: Cahiers de recherche.
    RePEc:iea:carech:0503.

    Full description at Econpapers || Download paper

  41. The Wealth Distribution and the Demand for Status. (2004). Young, Eric ; Luo, Yulei.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0410008.

    Full description at Econpapers || Download paper

  42. The Spirit of Capitalism and International Risk Sharing. (2004). Chue, Timothy K..
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:589.

    Full description at Econpapers || Download paper

  43. Ratchet vs Blasé Investors and Asset Markets. (2004). St-Amour, Pascal.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-11.

    Full description at Econpapers || Download paper

  44. Happiness Maintenance and Asset Prices. (2003). Falato, Antonio.
    In: Finance.
    RePEc:wpa:wuwpfi:0310003.

    Full description at Econpapers || Download paper

  45. A Real Business Cycle Model with Changing Sentiments. (2002). Sossounov, Kirill.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0210005.

    Full description at Econpapers || Download paper

  46. Rational Asset Prices. (2002). Constantinides, George.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8826.

    Full description at Econpapers || Download paper

  47. Portfolios of the Rich. (2000). Carroll, Christopher.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7826.

    Full description at Econpapers || Download paper

  48. Portfolios of the Rich. (2000). Carroll, Christopher.
    In: Economics Working Paper Archive.
    RePEc:jhu:papers:430.

    Full description at Econpapers || Download paper

  49. A Preference Regime Model of Bull and Bear Markets. (2000). St-Amour, Pascal ; Gordon, Stephen.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1019-1033.

    Full description at Econpapers || Download paper

  50. Prospect Theory and Asset Prices. (1999). HUANG, MING ; Santos, Tano ; Barberis, Nicholas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7220.

    Full description at Econpapers || Download paper

  51. Why Do the Rich Save So Much?. (1998). Carroll, Christopher.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6549.

    Full description at Econpapers || Download paper

  52. Fiscal Policies in a Finite Horizon Model with the Spirit of Capitalism. (1998). zou, heng-fu ; Gong, Liutang.
    In: CEMA Working Papers.
    RePEc:cuf:wpaper:102.

    Full description at Econpapers || Download paper

  53. Why Do the Rich Save So Much?. (1997). Carroll, Christopher.
    In: Economics Working Paper Archive.
    RePEc:jhu:papers:388.

    Full description at Econpapers || Download paper

  54. Dynamic analysis in the Viner model of mercantilism. (1997). zou, heng-fu.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:16:y:1997:i:4:p:637-651.

    Full description at Econpapers || Download paper

  55. An empirical investigation of asset pricing models using Japanese stock market data. (1997). Bakshi, Gurdip S. ; Naka, Atsuyuki.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:16:y:1997:i:1:p:81-112.

    Full description at Econpapers || Download paper

  56. Concern for relative position, rank-order contests, and contributions to public goods. (1996). Zenginobuz, Ünal.
    In: MPRA Paper.
    RePEc:pra:mprapa:388.

    Full description at Econpapers || Download paper

  57. Social Comparisons, Inequality, and Growth. (). Knell, Markus.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:005.

    Full description at Econpapers || Download paper

  58. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-05 21:13:54 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.