Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences

DOI10.1016/j.jedc.2008.02.005zbMath1181.91299MaRDI QIDQ2654415

Claus Munk

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.02.005

zbMATH Keywords

stochastic interest rates; intertemporal hedging; habit formation; optimal consumption and portfolio; mean reversion in stock prices

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G10: Portfolio theory

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