Portfolio and consumption decisions with the consumption habit constraints

DOI10.1016/j.na.2005.03.007zbMath1224.91133OpenAlexW3123402376MaRDI QIDQ1000046

Xianhua Wei, Bing Cheng

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.03.007

zbMATH Keywords

investmentportfolio insuranceconsumption habitintertemporal asset pricing

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Comparison of optimal portfolios with and without subsistence consumption constraints ⋮ Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints ⋮ Existence of Solutions of Abstract Fractional Impulsive Integrodifferential Equations of Sobolev Type

Cites Work

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• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Non-addictive habits: optimal consumption-portfolio policies.
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon