Non-addictive habits: optimal consumption-portfolio policies.

DOI10.1016/S0022-0531(03)00099-1zbMath1157.91395MaRDI QIDQ1421889

Jérôme B. Detemple, Ioannis Karatzas

Publication date: 3 February 2004

Published in: Journal of Economic Theory (Search for Journal in Brave)

zbMATH Keywords

optimizationAsianHabit formationStopping timescapped optionsConstrained consumption-portfolioNon-addictionRecursive (backward) stochastic equations and inequalities

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Related Items (17)

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