Non-addictive habits: optimal consumption-portfolio policies.
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Publication:1421889
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Cites work
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- A variational problem arising in financial economics
- Asset Prices in an Exchange Economy with Habit Formation
- Asset and commodity prices with multi-attribute durable goods
- Continuous-time security pricing. A utility gradient approach
- Habit Formation and Aggregate Consumption
- Optimal Growth with Intertemporally Dependent Preferences
- 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
- Stochastic Differential Utility
- The Interaction Between Time-Nonseparable Preferences and Time Aggregation
Cited in
(19)- Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
- Additive habit formation: consumption in incomplete markets with random endowments
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- Optimal consumption with reference to past spending maximum
- Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
- Portfolio and consumption decisions with the consumption habit constraints
- Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
- Optimal consumption with loss aversion and reference to past spending maximum
- Optimal asset allocation, consumption and retirement time with the variation in habitual persistence
- Optimal investment and consumption under a habit-formation constraint
- A greedy algorithm for habit formation under multiplicative utility
- Utility maximization with habit formation of interaction
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Dynamic consumption and portfolio choice under prospect theory
- Does relative risk aversion vary with wealth? Evidence from households portfolio choice data
- Optimal DB-PAYGO pension management towards a habitual contribution rate
- Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
- Asset management with endogenous withdrawals under a drawdown constraint
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