NON-EXPONENTIAL DISCOUNTING PORTFOLIO MANAGEMENT WITH HABIT FORMATION

Liu, JZ; Lin, LY; Yiu, KFC; Wei, JQ

Lin, LY (corresponding author), Cent Univ Finance & Econ, Sch Insurance, Beijing 100081, Peoples R China.

MATHEMATICAL CONTROL AND RELATED FIELDS, 2020; 10 (4): 761

Abstract

This paper studies the portfolio management problem for an individual with a non-exponential discount function and habit formation in finite time. The......

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