28 citations · 67 across the 20 of their papers we have counts for
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q-fin.PM2011★ 22 cited
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
Xiang Yu
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxil…
q-fin.PM2011★ 3 cited
An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations
Xiang Yu
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumptio…