Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
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Cites work
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- A variational problem arising in financial economics
- Consumption and investment under constraints
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Convex duality in constrained portfolio optimization
- Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales
- Hedging contingent claims with constrained portfolios
- Hedging in incomplete markets with HARA utility
- scientific article; zbMATH DE number 3793161 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 3529000 (Why is no real title available?)
- scientific article; zbMATH DE number 3794815 (Why is no real title available?)
- Labor income, borrowing constraints, and equilibrium asset prices
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Martingales and arbitrage in multiperiod securities markets
- Numerical analysis of a free-boundary singular control problem in financial economics
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption and portfolio rules with durability and habit formation
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Optimization of consumption with labor income
Cited in
(9)- Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales
- Finite horizon portfolio selection with durable goods
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
- Optimal consumption-portfolio and leisure problem with habit formation
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Optimal consumption and portfolio rules with durability and habit formation
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