Optimal consumption under habit formation in markets with transaction costs and random endowments

DOI10.1214/16-AAP1222zbMath1368.91168arXiv1408.1382OpenAlexW2962719767MaRDI QIDQ2013576

Xiang Yu

Publication date: 8 August 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1382

zbMATH Keywords

convex dualityproportional transaction costsacceptable portfoliosconsumption budget constraintconsumption habit formationmarket isomorphismunbounded random endowments

Mathematics Subject Classification ID

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