Auflistung nach Autor "Seifried, Frank Thomas"

Anzeige der Dokumente 1-4 von 4

    • Consumption and Wage Humps in a Life-Cycle Model with Education 

      Kraft, Holger; Munk, Claus; Seifried, Frank Thomas; Steffensen, Mogens (2015-02-24)
      The observed hump-shaped life-cycle pattern in individuals’ consumption cannot be explained by the classical consumption-savings model. The consensus explanation is that the hump is caused by constraints and unspanned ...

    • Consumption Habits and Humps 

      Kraft, Holger; Munk, Claus; Seifried, Frank Thomas; Wagner, Sebastian (2015-07-10)
      We show that the optimal consumption of an individual over the life cycle can have the hump shape (inverted U-shape) observed empirically if the preferences of the individual exhibit internal habit formation. In the absence ...

    • Optimal Consumption and Investment with Epstein-Zin Recursive Utility 

      Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas (2016-07-04)
      We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...

    • Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility 

      Kraft, Holger; Seifried, Frank Thomas (2013-05-10)
      We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the ...