Non-addictive habits: optimal consumption-portfolio policies.

DOI10.1016/S0022-0531(03)00099-1zbMATH Open1157.91395MaRDI QIDQ1421889FDOQ1421889

Authors: Jérôme Detemple, Ioannis Karatzas 

Publication date: 3 February 2004

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Cites Work

• Stochastic Differential Utility
• Title not available (Why is that?)
• Continuous-time security pricing. A utility gradient approach
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Title not available (Why is that?)
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• A variational problem arising in financial economics
• Optimal Growth with Intertemporally Dependent Preferences
• Habit Formation and Aggregate Consumption
• Asset Prices in an Exchange Economy with Habit Formation
• The Interaction Between Time-Nonseparable Preferences and Time Aggregation
• Asset and commodity prices with multi-attribute durable goods

Cited In (19)

• Utility maximization with habit formation of interaction
• Dynamic consumption and portfolio choice under prospect theory
• Does relative risk aversion vary with wealth? Evidence from households portfolio choice data
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
• Optimal consumption with reference to past spending maximum
• Additive habit formation: consumption in incomplete markets with random endowments
• Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
• 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
• Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
• Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
• Portfolio and consumption decisions with the consumption habit constraints
• A greedy algorithm for habit formation under multiplicative utility
• Optimal investment and consumption under a habit-formation constraint
• Optimal consumption with loss aversion and reference to past spending maximum
• Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
• Asset management with endogenous withdrawals under a drawdown constraint
• Optimal asset allocation, consumption and retirement time with the variation in habitual persistence

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