Optimal Investment and Consumption under a Habit-Formation Constraint
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Publication:5071493
DOI10.1137/21M1397891zbMath1489.91230arXiv2102.03414OpenAlexW3130410263MaRDI QIDQ5071493
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
Publication date: 21 April 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.03414
stochastic controlfree-boundary problemoptimal investment and consumptionhabit formationhabit persistenceaverage past consumption
Related Items (5)
Optimal Ratcheting of Dividends in a Brownian Risk Model ⋮ Optimal consumption and life insurance under shortfall aversion and a drawdown constraint ⋮ Consumption-investment decisions with endogenous reference point and drawdown constraint ⋮ Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule
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