Utility maximization with habit formation of interaction
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Cites work
- scientific article; zbMATH DE number 4010171 (Why is no real title available?)
- Additive habit formation: consumption in incomplete markets with random endowments
- Asset Prices in an Exchange Economy with Habit Formation
- Conjugate convex functions in optimal stochastic control
- Convex duality in constrained portfolio optimization
- Hedging contingent claims with constrained portfolios
- Non-addictive habits: optimal consumption-portfolio policies.
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
- Stochastic calculus for finance. II: Continuous-time models.
- Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
Cited in
(14)- Developing utility functions for optimal consumption in models with habit formation and catching up with the Joneses
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- Habit formation and the Pareto-efficient provision of public goods
- Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
- Solving internal habit formation models through dynamic programming in infinite dimension
- Multiplicative habit formation and consumption: a note
- A greedy algorithm for habit formation under multiplicative utility
- Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- On history-dependent optimization models: a unified framework to analyze models with habits, satiation and optimal growth
- Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
- A mean field game approach to equilibrium consumption under external habit formation
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
- Optimal entry and consumption under habit formation
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