Non-exponential discounting portfolio management with habit formation
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Publication:828997
DOI10.3934/MCRF.2020019zbMATH Open1461.91279OpenAlexW3012982793MaRDI QIDQ828997FDOQ828997
Authors: Jingzhen Liu, Liyuan Lin, Jiaqin Wei, Ka Fai Cedric Yiu 
Publication date: 5 May 2021
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2020019
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optimal portfolionon-exponential discountinghabit formationoptimal insuranceextended Hamilton-Jacobi-Bellman equation
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Cited In (7)
- Non-constant discounting and consumption, portfolio and life insurance rules
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- A greedy algorithm for habit formation under multiplicative utility
- Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
- Time-consistent lifetime portfolio selection under smooth ambiguity
- Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
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