Portfolio and consumption decisions with the consumption habit constraints

DOI10.1016/J.NA.2005.03.007zbMATH Open1224.91133OpenAlexW3123402376MaRDI QIDQ1000046FDOQ1000046

Authors: Bing Cheng, Xianhua Wei 

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.03.007

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zbMATH Keywords

investmentportfolio insuranceconsumption habitintertemporal asset pricing

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Non-addictive habits: optimal consumption-portfolio policies.

Cited In (12)

• Non-addictive habits: optimal consumption-portfolio policies.
• Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
• Existence of Solutions of Abstract Fractional Impulsive Integrodifferential Equations of Sobolev Type
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Portfolio selection with subsistence consumption constraints and CARA utility
• Moving costs, nondurable consumption and portfolio choice
• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Work effort, consumption, and portfolio selection: When the occupational choice matters
• Comparison of optimal portfolios with and without subsistence consumption constraints
• Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
• Dynamic spending and portfolio decisions with a soft social norm
• Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.

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