2 citations · 3 across the 3 of their papers we have counts for
4 papers · 1 filter
Additive habits with power utility: Estimates, asymptotics and equilibrium
Roman Muraviev
We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we e…
Market selection with learning and catching up with the Joneses
Roman Muraviev
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in…
Exponential utility with non-negative consumption
Roman Muraviev
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise t…
Additive habit formation: Consumption in incomplete markets with random endowments
Roman Muraviev
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomp…