Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting

DOI10.1007/s00780-023-00510-4zbMath1528.91069MaRDI QIDQ6181519

Yike Wang, Jingzhen Liu, Tak Kuen Siu

Publication date: 2 January 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

stochastic maximum principlenon-exponential discountinghabit formationinvestment-consumption-insurance managementopen-loop Nash equilibrium control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Actuarial mathematics (91G05)

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