Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales

DOI10.1016/S0304-4068(96)00797-5zbMath0886.90026OpenAlexW1974473384MaRDI QIDQ1367868

Xing Jin, Shuhui Deng

Publication date: 13 April 1998

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(96)00797-5

zbMATH Keywords

short-sale prohibitionhabit formation and consumption durabilityportfolio and consumption processes

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (3)

Optimal consumption choice with intertemporal substitution ⋮ Dividends in the theory of derivative securities pricing ⋮ Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.

Cites Work

• A variational problem arising in financial economics
• Asset Prices in an Exchange Economy with Habit Formation
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
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