Additive habit formation: consumption in incomplete markets with random endowments

DOI10.1007/s11579-011-0049-yzbMath1282.91180arXiv1106.2980MaRDI 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 markets; utility maximization; consumption; habit formation; random endowments

Mathematics Subject Classification ID

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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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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