Optimal consumption with loss aversion and reference to past spending maximum
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Publication:6496947
DOI10.1137/22M149212XMaRDI QIDQ6496947
Publication date: 6 May 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
loss aversionconcave envelopepath-dependent referencepiecewise feedback controloptimal relative consumption
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Portfolio theory (91G10)
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