An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations

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Yu, Xiang;
(2011)
  • Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | 91G10 (Primary) 93E11, 93E20 (Secondary)

We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete It\^{o} processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices b... View more
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