1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.GN2009★ 1 cited
Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
Roman Naryshkin, Matt Davison
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consu…
q-fin.PM2008★ 1 cited
Portfolio Optimization under Habit Formation
Roman Naryshkin, Matt Davison
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the d…