A greedy algorithm for habit formation under multiplicative utility

DOI10.1142/s0219024923500279MaRDI QIDQ6644184

Snezhana Kirusheva, Thomas S. Salisbury

Publication date: 27 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

greedy algorithmoptimal consumptionmultiplicative habit formation

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Portfolio theory (91G10)

Cites Work

• Non-exponential discounting portfolio management with habit formation
• Optimal consumption-portfolio choices and retirement planning
• Non-addictive habits: optimal consumption-portfolio policies.
• Utility maximization with habit formation of interaction
• Optimal consumption under habit formation in markets with transaction costs and random endowments
• Optimal retirement and portfolio selection with consumption ratcheting
• Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
• Solving internal habit formation models through dynamic programming in infinite dimension
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Evaluating Portfolio Policies: A Duality Approach
• Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal Consumption‐Portfolio Policies With Habit Formation¹
• Consumption Commitments and Habit Formation
• Optimal Investment
• Optimal Investment and Consumption under a Habit-Formation Constraint
• The Calculus of Retirement Income
• An elementary approach to the Merton problem

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