Non-exponential discounting portfolio management with habit formation
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Publication:828997
DOI10.3934/mcrf.2020019zbMath1461.91279OpenAlexW3012982793MaRDI QIDQ828997
Jiaqin Wei, Jingzhen Liu, Liyuan Lin, Ka-Fai Cedric Yiu
Publication date: 5 May 2021
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2020019
optimal portfolionon-exponential discountinghabit formationoptimal insuranceextended Hamilton-Jacobi-Bellman equation
Related Items (4)
Time-consistent lifetime portfolio selection under smooth ambiguity ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting ⋮ Optimal portfolio selection with life insurance under subjective survival belief and habit formation
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