Optimal consumption and portfolio rules with durability and habit formation

DOI10.1016/S0165-1889(96)00943-8zbMath0879.90043OpenAlexW3122138273MaRDI QIDQ673262

Ayman Hindy, Chi-fu Huang, Steven H. Zhu

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(96)00943-8

zbMATH Keywords

optimal allocationHabit formationSingular controldiscrete parameter Markov chain controlFree boundaryfree-boundary singular controlLocal substitution

Mathematics Subject Classification ID

Economic growth models (91B62) Consumer behavior, demand theory (91B42)

Related Items (7)

Intertemporal preference with loss aversion: consumption and risk-attitude ⋮ Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation. ⋮ Numerical analysis of a free-boundary singular control problem in financial economics ⋮ Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good ⋮ An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis ⋮ ON SUNSPOTS, HABITS, AND MONETARY FACTS ⋮ Explicit characterizations of financial prices with history-dependent utility

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