Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation

2000 ◽  
Vol 33 (2) ◽  
pp. 135-153
Author(s):  
Yunhong Yang
Keyword(s):  
Habit Formation ◽  
Optimal Consumption ◽  
Portfolio Constraints

scholarly journals Consumption and Portfolio Choice under Internal Multiplicative Habit Formation

2019 ◽  
Vol 55 (7) ◽  
pp. 2334-2371
Author(s):  
Servaas van Bilsen ◽  
A. Lans Bovenberg ◽  
Roger J. A. Laeven
Keyword(s):  
Portfolio Choice ◽  
Habit Formation ◽  
Optimal Consumption ◽  
Investment Behavior ◽  
Risky Assets ◽  
General Utility ◽  
Marginal Propensity To Consume ◽  
Investment Opportunities ◽  
Marginal Propensity ◽  
Optimal Consumption And Investment

This paper explores the optimal consumption and investment behavior of an individual who derives utility from the ratio between his consumption and an endogenous habit. We obtain closed-form policies under general utility functionals and stochastic investment opportunities by developing a nontrivial linearization to the budget constraint. This enables us to explicitly characterize how habit formation affects the marginal propensity to consume and optimal stock–bond investments. We also show that in a setting that combines habit formation with Epstein–Zin utility, consumption no longer grows at unrealistically high rates at high ages and investments in risky assets decrease.

scholarly journals Optimal consumption and portfolio rules with durability and habit formation

1997 ◽  
Vol 21 (2-3) ◽  
pp. 525-550 ◽  
Author(s):  
Ayman Hindy ◽  
Chi-fu Huang ◽  
Steven H. Zhu
Keyword(s):  
Habit Formation ◽  
Optimal Consumption

Optimal consumption sequences under habit formation and satiation

2019 ◽  
Vol 80 ◽  
pp. 70-76
Author(s):  
Juan Dubra ◽  
Martín Egozcue ◽  
Luis Fuentes García
Keyword(s):  
Habit Formation ◽  
Optimal Consumption

Optimal Consumption-Portfolio Policies With Habit Formation

1992 ◽  
Vol 2 (4) ◽  
pp. 251-274 ◽  
Author(s):  
Jerome B. Detemple ◽  
Fernando Zapatero
Keyword(s):  
Habit Formation ◽  
Optimal Consumption

scholarly journals Optimal Consumption Under a Habit-Formation Constraint

2021 ◽  
Author(s):  
Bahman Angoshtari ◽  
Erhan Bayraktar ◽  
Virginia R. Young
Keyword(s):  
Habit Formation ◽  
Optimal Consumption
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