Optimal consumption-portfolio and leisure problem with habit formation

MaRDI QIDQ2860167zbMATHFDO

Authors Yongwang Zhu, Weiyin Fei, Kai Su

Publication date 19 November 2013

Published in Journal of Nanjing University of Information Science and Technology. Natural Science Edition (Search for Journal in Brave)

zbMATH Keywords

optimal consumptionstochastic controlutility functiondividendhabit formation

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Consumer behavior, demand theory (91B42) Financial applications of other theories (91G80)

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• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Optimal consumption, leisure and job choice under inflationary environment
• Optimal consumption, life insurance and investment decision with habit formation
• Optimal consumption dynamics with non-concave habit-forming utility
• Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
• Non-addictive habits: optimal consumption-portfolio policies.

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