Optimal consumption under habit formation in markets with transaction costs and random endowments
type: Item
instance of: scholarly article
title: Optimal consumption under habit formation in markets with transaction costs and random endowments
zbMATH Open document ID: 1368.91168
DOI: 10.1214/16-AAP1222
author: Xiang Yu
published in: The Annals of Applied Probability
publication date: 2017-08-08T00:00:00Z
full work available at URL: https://arxiv.org/abs/1408.1382
full work available at URL: https://projecteuclid.org/euclid.aoap/1495764372
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 6758689
zbMATH Keywords: proportional transaction costs
zbMATH Keywords: unbounded random endowments
zbMATH Keywords: acceptable portfolios
zbMATH Keywords: consumption budget constraint
zbMATH Keywords: consumption habit formation
zbMATH Keywords: convex duality
zbMATH Keywords: market isomorphism
MaRDI profile type: Publication
arXiv ID: 1408.1382
OpenAlex ID: W2962719767
description: scientific article