Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach

DOI10.1080/17442508.2022.2070433zbMath1520.91375OpenAlexW4229032465MaRDI QIDQ6107682

Jiaqin Wei, Jingzhen Liu, Yike Wang

Publication date: 3 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2022.2070433

zbMATH Keywords

regime-switchinghabit formationtime-consistent controlessentially cooperative approachoptimal consumption portfolio

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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