Abstract
We examine the consumption and portfolio decisions of an agent with Friedman-Savage type period utility in continuous time. We find the Friedman-Savage consumer does not gamble, but will aggressively invest in risky activities for wealth levels that support a minimum subsistence level of consumption. As the market premium of risk approaches zero, the agent becomes infinitely aggressive for these wealth levels. Also, there will be a jump in consumption corresponding to the region where the utility is convex. Last, the agent becomes more aggressive as patience decreases.
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