Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time
Abstract
This note explores the feasibility and transversality conditions for the continuous-time consumption-portfolio problem with generalized isoelastic (GIE) preferences. Unlike the case of time-separable preferences, the transversality condition usually is neither necessary nor sufficient for the feasibility condition to be satisfied. Furthermore, ordinally equivalent representations of GIE preferences produce different transversality conditions.
Publication Title
Economics Letters
Recommended Citation
Smith, W. (1996). Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time. Economics Letters, 53 (2), 123-131. https://doi.org/10.1016/S0165-1765(96)00914-7
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