Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
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Publication:2346076
DOI10.1214/14-AAP1026zbMath1312.91084arXiv1112.2940OpenAlexW3101411106MaRDI QIDQ2346076
Publication date: 29 May 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.2940
incomplete marketsconvex dualityconsumption habit formationauxiliary processestime nonseparable utility maximization
Related Items (14)
The consumption-investment decision of a prospect theory household: a two-period model ⋮ Optimal consumption with reference to past spending maximum ⋮ Optimal Investment and Consumption under a Habit-Formation Constraint ⋮ Optimal entry and consumption under habit formation ⋮ Optimal asset allocation, consumption and retirement time with the variation in habitual persistence ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Optimal consumption and life insurance under shortfall aversion and a drawdown constraint ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Consumption-investment decisions with endogenous reference point and drawdown constraint ⋮ Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case ⋮ Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting ⋮ Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate
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