Abstract
In this paper, we use stochastic dynamic programming to study the intertemporal consumption and portfolio choice of an infinitely lived agent who faces a constant opportunity set and a borrowing constraint. We show that, under general assumptions on the agent's utility function, optimal policies exist and can be expressed as feedback functions of current wealth. We describe these policies in detail, when the agent's utility function exhibits constant relative risk aversion.Journal of Economic LiteratureClassification Numbers: G11, G12, D52.
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