Optimal Consumption‐Portfolio Policies With Habit Formation1
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Publication:4345934
DOI10.1111/j.1467-9965.1992.tb00032.xzbMath0900.90141OpenAlexW2072566091MaRDI QIDQ4345934
Fernando Zapatero, Jérôme B. Detemple
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00032.x
Economic growth models (91B62) Computational methods for problems pertaining to operations research and mathematical programming (90-08)
Related Items (24)
Optimal consumption with reference to past spending maximum ⋮ Non-exponential discounting portfolio management with habit formation ⋮ BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences ⋮ Asset and commodity prices with multi-attribute durable goods ⋮ Optimal Investment and Consumption under a Habit-Formation Constraint ⋮ Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences ⋮ Optimal entry and consumption under habit formation ⋮ Optimal asset allocation, consumption and retirement time with the variation in habitual persistence ⋮ Additive habit formation: consumption in incomplete markets with random endowments ⋮ 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 ⋮ 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 ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Utility maximization with habit formation of interaction ⋮ Optimal consumption-portfolio choices and retirement planning ⋮ Asset pricing with a forward--backward stochastic differential utility ⋮ Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints ⋮ A regular equilibrium solves the extended HJB system ⋮ Dynamic consumption and portfolio choice under prospect theory ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application ⋮ Utility maximization with addictive consumption habit formation in incomplete semimartingale markets ⋮ Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
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