2 papers
q-fin.MF2026
Optimal consumption under loss-averse multiplicative habit-formation preferences
Bahman Angoshtari, Xiang Yu, Fengyi Yuan
This paper studies a loss-averse version of the multiplicative habit formation preference and the corresponding optimal investment and consumption strategies over an infinite horiz…
q-fin.MF2024
Rank-Dependent Predictable Forward Performance Processes
Bahman Angoshtari, Shida Duan
Predictable forward performance processes (PFPPs) are stochastic optimal control frameworks for an agent who controls a randomly evolving system but can only prescribe the system d…