• 1 Introduction
  • 2 General Incomplete markets
  • 2.1 The structure of market incompleteness
  • 2.2 The optimal consumption stream
  • 3 The class C of incomplete markets
  • 4 Examples of incomplete markets in the class C .
  • 4.1 Idiosyncratic incompleteness
  • 4.2 Discrete time diffusion driven incompleteness
  • 4.3 The market with only one period risk free bonds
  • 5 The optimal consumption stream for an incomplete market in theclass C .
  • 5.1 Precautionary savings
  • 5.2 Recursive structure
  • 5.3 Diminishing marginal propensity to consume
  • 6 Constant relative risk aversion. Weak idiosyncratic risk
  • References
  • Appendices:
  • A The derivation of budget constraints and first order conditions
  • B Positivity of the projections
  • C Convexity and concavity
  • D A toy calculation: the inductive construction of optimal consumption streams in a two period model
  • D.1 A toy probability space, sigma algebras and projections
  • D.2 Budget constraints and first order conditions
  • D.3 Two period inductive construction
  • E Weak idiosyncratic risk