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Optimal Consumption‐Portfolio Policies With Habit Formation 1
16 references·12 citing·36 second hop
Optimal Consumption‐Portfolio Policies With Habit Formation 1 (1992)Optimal Consumption‐Portfolio Policies Wi…Stochastic Differential Utility (1992)Stochastic Differential Utili…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Pre…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…Shortfall aversion (2020)Shortfall aversionOptimal DB-PAYGO pension management towards a habitual contribution rate (2020)Optimal DB-PAYGO pension mana…Optimal Consumption with Reference to Past Spending Maximum (2020)Optimal Consumption with Refe…Consumption and Portfolio Choice under Internal Multiplicative Habit Formation (2019)Consumption and Portfolio Cho…A regular equilibrium solves the extended HJB system (2019)A regular equilibrium solves …Should Long-Term Investors Time Volatility? 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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited

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1989
Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
527 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • Cited by

    • 2009Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs74 cited
    • 2018Should Long-Term Investors Time Volatility?73 cited
    • 2015Utility maximization with addictive consumption habit formation in incomplete semimartingale markets33 cited
    • 2020Optimal Consumption with Reference to Past Spending Maximum32 cited
    • 2001Asset pricing with a forward–backward stochastic differential utility30 cited
    • 2017Optimal consumption under habit formation in markets with transaction costs and random endowments26 cited
    • 2020Shortfall aversion23 cited
    • 2003Dynamic Asset Allocation23 cited
    • 2019A regular equilibrium solves the extended HJB system22 cited
    • 2019Consumption and Portfolio Choice under Internal Multiplicative Habit Formation19 cited
    • 2020Optimal DB-PAYGO pension management towards a habitual contribution rate17 cited
    • 2003Shortfall Allowed: Loss Aversion and Habit Formation2 cited