Optimal consumption-portfolio and leisure problem with habit formation
Author:
  • Article
  • | |
  • Metrics
  • |
  • Reference
  • |
  • Related
  • |
  • Cited by
  • | |
  • Comments
    Abstract:

    This paper studies consumption-portfolio and leisure choices in a life-cycle model with habit formation,stochastic opportunity set,stochastic wages and labor supply flexibility.In the case of stock dividend payments,the model of securities is established by the use of stochastic differential equations.Investors’ preferences are represented by the nonseparable von Neumann Morgenstern index.Finally,the explicit expressions of optimal choices are obtained for optimal consumption-portfolio and leisure.

    Reference
    Related
    Cited by
Get Citation

ZHU Yongwang, FEI Weiyin, SU Kai. Optimal consumption-portfolio and leisure problem with habit formation[J]. Journal of Nanjing University of Information Science & Technology,2012,4(5):476-480

Copy
Share
Article Metrics
  • Abstract:
  • PDF:
  • HTML:
  • Cited by:
History
  • Received:June 09,2011
Article QR Code

Address:No. 219, Ningliu Road, Nanjing, Jiangsu Province

Postcode:210044

Phone:025-58731025