Additive habit formation: consumption in incomplete markets with random endowments
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Publication:1935726
DOI10.1007/s11579-011-0049-yzbMath1282.91180arXiv1106.2980MaRDI QIDQ1935726
Publication date: 19 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.2980
60G42: Martingales with discrete parameter
60G12: General second-order stochastic processes
91B16: Utility theory
91B24: Microeconomic theory (price theory and economic markets)
60G35: Signal detection and filtering (aspects of stochastic processes)
91B42: Consumer behavior, demand theory
91G10: Portfolio theory
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