Optimal consumption and portfolio rules with durability and habit formation
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Publication:673262
DOI10.1016/S0165-1889(96)00943-8zbMATH Open0879.90043OpenAlexW3122138273MaRDI QIDQ673262FDOQ673262
Ayman Hindy, Chi-fu Huang, Steven H. Zhu
Publication date: 28 February 1997
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(96)00943-8
optimal allocationHabit formationdiscrete parameter Markov chain controlFree boundaryfree-boundary singular controlLocal substitutionSingular control
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Cited In (11)
- Non-addictive habits: optimal consumption-portfolio policies.
- ON SUNSPOTS, HABITS, AND MONETARY FACTS
- Explicit characterizations of financial prices with history-dependent utility
- Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Moving costs, nondurable consumption and portfolio choice
- Numerical analysis of a free-boundary singular control problem in financial economics
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
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