Additive habit formation: consumption in incomplete markets with random endowments

DOI10.1007/S11579-011-0049-YzbMath1282.91180arXiv1106.2980OpenAlexW2131475871MaRDI QIDQ1935726

Roman Muraviev

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

zbMATH Keywords

incomplete marketsutility maximizationconsumptionhabit formationrandom endowments

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) General second-order stochastic processes (60G12) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

Related Items (4)

Optimal Investment and Consumption under a Habit-Formation Constraint ⋮ Consumption-investment decisions with endogenous reference point and drawdown constraint ⋮ Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case ⋮ Utility maximization with habit formation of interaction

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