A greedy algorithm for habit formation under multiplicative utility
type: Item
instance of: scholarly article
title: A greedy algorithm for habit formation under multiplicative utility
author: Snezhana Kirusheva
author: Thomas S. Salisbury
published in: International Journal of Theoretical and Applied Finance
publication date: 2024-11-27T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 7950061
zbMATH Keywords: optimal consumption
zbMATH Keywords: multiplicative habit formation
zbMATH Keywords: greedy algorithm
MaRDI profile type: MaRDI publication profile
cites work: Optimal Investment and Consumption under a Habit-Formation Constraint
cites work: Solving internal habit formation models through dynamic programming in infinite dimension
cites work: Optimal consumption-portfolio choices and retirement planning
cites work: Consumption Commitments and Habit Formation
cites work: Non-addictive habits: optimal consumption-portfolio policies.
cites work: Optimal Consumption‐Portfolio Policies With Habit Formation1
cites work: Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
cites work: Evaluating Portfolio Policies: A Duality Approach
cites work: An elementary approach to the Merton problem
cites work: Optimal retirement and portfolio selection with consumption ratcheting
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: Non-exponential discounting portfolio management with habit formation
cites work: Utility maximization with habit formation of interaction
cites work: The Calculus of Retirement Income
cites work: Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
cites work: Optimal Investment
cites work: Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
cites work: Optimal consumption under habit formation in markets with transaction costs and random endowments
DOI: 10.1142/S0219024923500279
description: scientific article; zbMATH DE number 7950061