Optimal portfolio and consumption with habit formation in a jump diffusion market

DOI10.1016/J.AMC.2013.07.063MaRDI QIDQ907435zbMATH OpenOpenAlexFDO

Authors Xinfeng Ruan, Wenli Zhu, Jin Hu, Jiexiang Huang

Publication date 25 January 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2013.07.063

zbMATH Keywords

equity premium puzzlehabit formationjump diffusions marketmaximum principleportfolio and consumptionstochastic control

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(7)

• Errata corrige optimal portfolio and consumption with habit formation in a jump diffusion market
• Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions
• Optimal investment and consumption in the market with jump risk and capital gains tax
• Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
• Consumption optimization for recursive utility in a jump-diffusion model
• 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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