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q-fin.MF2025
Dual Formulation of the Optimal Consumption problem with Multiplicative Habit Formation
Thijs Kamma, Antoon Pelsser
This paper provides a dual formulation of the optimal consumption problem with internal multiplicative habit formation. In this problem, the agent derives utility from the ratio of…
q-fin.MF2019
Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints
Thijs Kamma, Antoon Pelsser
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the…