SIAM Journal on Financial Mathematics, Volume 11, Issue 3, Page 659-689, January 2020.
We define an intertemporal equilibrium where agents optimize a functional of utility on consumption and final wealth on nominal terms as proposed by [J. A. London͂o, J. Appl. Probab., 46 (2009), pp. 55--70]. The equilibrium obtained is a Duesenberry Equilibrium in the sense that at the optimal choices, heterogeneous agents have utility values for consumption and wealth that can be seen as a functional on utility on relative consumption and wealth (relative income hypothesis). We characterize these markets under a weak condition, provide existence and uniqueness results, and develop some simple examples. Also, we show the behavior of the proposed model to explain classical puzzles, and we suggest a possible extension. The theoretical framework used is a generalization of markets when the processes are Brownian flows on manifolds.

中文翻译：

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Duesenberry平衡剂和异构剂

SIAM金融数学期刊，第11卷，第3期，第659-689页，2020年1月。
我们定义了一种跨期均衡，在这种均衡中，代理人根据[JA London optimizeo，J。Appl。Probab。，46（2009），第55--70页]。在最佳选择下，异质代理具有消费和财富的效用值，可以将其视为相对消费和财富的效用的函数（相对收入假设），这就是杜森伯里均衡。我们在弱势条件下对这些市场进行特征描述，提供存在性和唯一性结果，并给出一些简单的例子。此外，我们展示了提出的模型的行为来解释经典难题，并建议了可能的扩展。当流程是流形上的布朗流时，使用的理论框架是市场的概括。