Habit formation from correlation aversion

DOI10.1287/OPRE.1120.1046zbMATH Open1260.91062OpenAlexW2117716439MaRDI QIDQ4648259FDOQ4648259

Authors: Kenneth C. jun. Lichtendahl, Raul O. Chao, Samuel E. Bodily 

Publication date: 8 November 2012

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1120.1046

Recommendations

• Optimal investment and consumption under a habit-formation constraint
• Consumption, saving and habit formation
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Portfolio and consumption decisions with the consumption habit constraints
• Portfolio selection with consumption ratcheting

zbMATH Keywords

decision analysisstochastic dynamic programmingmultiattribute utilityconsumption and portfolio planning

Mathematics Subject Classification ID

Decision theory (91B06) Dynamic programming (90C39) Stochastic programming (90C15)

Cited In (5)

• On the characterization of linear habit formation
• Preferences for consumption streams: scale invariance, correlation aversion, and delay aversion under mortality risk
• Multiplicative utilities for health and consumption
• Dynamic theory of preferences: habit formation and taste for variety
• Evaluating decision maker ``type under \(p\)-additive utility representations

This page was built for publication: Habit formation from correlation aversion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4648259)