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math.OC2025
Stochastic internal habit formation and optimality
Michele Aleandri, Alessandro Bondi, Fausto Gozzi
Growth models with internal habit formation have been studied in various settings under the assumption of deterministic dynamics. The purpose of this paper is to explore a stochast…
math.OC2021
Wage Rigidity and Retirement in Optimal Portfolio Choice
Sara Biagini, Enrico Biffis, Fausto Gozzi +1
We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve…