Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/94108
Title: | Optimal entry and consumption under habit formation | Authors: | Yang, Y Yu, X |
Issue Date: | Jun-2022 | Source: | Advances in applied probability, June 2022, v. 54, no. 2, p. 433-459 | Abstract: | This paper studies a composite problem involving decision-making about the optimal entry time and dynamic consumption afterwards. In Stage 1, the investor has access to full market information subject to some information costs and needs to choose an optimal stopping time to initiate Stage 2; in Stage 2, the investor terminates the costly full information acquisition and starts dynamic investment and consumption under partial observation of free public stock prices. Habit formation preferences are employed, in which past consumption affects the investor's current decisions. Using the stochastic Perron method, the value function of the composite problem is proved to be the unique viscosity solution of some variational inequalities. | Keywords: | Consumption habit formation Optimal entry problem Stochastic Perron method Viscosity solution |
Publisher: | Cambridge University Press | Journal: | Advances in applied probability | ISSN: | 0001-8678 | DOI: | 10.1017/apr.2021.37 | Rights: | This article has been published in a revised form in Advances in Applied Probability https://dx.doi.org/10.1017/apr.2021.37. This version is free to view and download for private research and study only. Not for re-distribution or re-use. © The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust. When citing an Accepted Manuscript or an earlier version of an article, the Cambridge University Press requests that readers also cite the Version of Record with a DOI link. The article is subsequently published in revised form in Advances in Applied Probability https://dx.doi.org/10.1017/apr.2021.37. |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Yue_Optimal_Entry_Habit.pdf | Pre-Published version | 1.01 MB | Adobe PDF | View/Open |
Page views
73
Last Week
2
2
Last month
Citations as of Sep 22, 2024
Downloads
79
Citations as of Sep 22, 2024
SCOPUSTM
Citations
3
Citations as of Sep 26, 2024
WEB OF SCIENCETM
Citations
4
Citations as of Sep 26, 2024
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.