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Additive habit formation: Consumption in incomplete markets with random endowments
Optimal Consumption Investment Utility Maximization Habit Formation Random Endowments Incomplete Markets
2011/7/4
We provide a detailed characterization of the optimal consumption
stream for the additive habit-forming utility maximization problem, in
a framework of general discrete-time incomplete markets and r...
This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the
spirit of the Fu...