[2013년 제 2차] The Capitalist Spirit: Optimal Consumption and Inve
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2013-06-05
This paper studies a continuous-time model of consumption and investment with a utility function where wealth enters as an argument. The stochastic maximum principle is used to obtain a solution and compared with a newly formulated mar- tingale method. A concrete solution is obtained by a discrete time approximation. An agent with such a utility function typically exhibits decreasing marginal propen-sity to consume and an increasing marginal propensity to invest in the risky assets consistent with empirical evidence.
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