Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
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Publication:2654415
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Cited in
(45)- Portfolio and consumption decisions with the consumption habit constraints
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Does relative risk aversion vary with wealth? Evidence from households portfolio choice data
- Portfolio selection with consumption ratcheting
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
- Utility maximization with habit formation of interaction
- Optimal consumption under habit formation in markets with transaction costs and random endowments
- Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
- Optimal consumption with reference to past spending maximum
- Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk
- Annuity and insurance choice under habit formation
- The optimal investment, liability and dividends in insurance
- Optimal retirement planning under partial information
- Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
- Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
- Consumption habits and humps
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- Optimal retirement time under habit persistence: what makes individuals retire early?
- Habit formation from correlation aversion
- Optimal investment and consumption under a habit-formation constraint
- Optimal entry and consumption under habit formation
- Quantifying the trade-off between income stability and the number of members in a pooled annuity fund
- Solving life-cycle problems with biometric risk by artificial insurance markets
- Co-jumps and recursive preferences in portfolio choices
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
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- Optimal consumption and investment under time-varying relative risk aversion
- Work effort, consumption, and portfolio selection: When the occupational choice matters
- Consistent curves in the -world: optimal bonds portfolio
- A greedy algorithm for habit formation under multiplicative utility
- Optimal portfolio and consumption decisions in a stochastic environment with precommitment
- Optimal smooth consumption and its trade-offs
- Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
- Optimal consumption under a drawdown constraint over a finite horizon
- Optimal consumption under loss-averse multiplicative habit formation preferences
- Optimal portfolio and consumption with habit formation in a jump diffusion market
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