Optimal investment and consumption model with habit formation constraint.
problem Formulating an optimal investment and consumption model with habit formation constraint.
method Formulated an infinite-horizon optimal investment and consumption problem with habit formation model, derived explicit policies, and analyzed the system of differential equations.
result Optimal investment and consumption policies derived explicitly, showing different consumption and investment strategies based on habit formation level.
We solve an optimal consumption problem with habit formation constraints.
problem Maximizing utility with habit formation constraints.
method Formulated and solved a deterministic optimal consumption problem.
result Optimal consumption policies derived explicitly.
Study equilibrium consumption habits in a large population using mean field games.
problem Equilibrium consumption under external habit formation in a large population.
method Formulated and solved mean field games for linear and multiplicative habit formation preferences, constructed approximate Nash equilibria for large n-player games.
result Characterized mean field equilibrium strategies and derived financial implications.
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of consumption at any given time depends only on the amount consumed at that time.…
Paper offers a dual formulation for consumption problem with multiplicative habit.
problem Optimal consumption with multiplicative habit formation.
method Dual formulation using Fenchel's Duality Theorem.
result Strong duality result linking primal and dual controls.
Greedy algorithm optimizes consumption habits with power utility.
problem Optimizing lifetime consumption with habit formation under power utility.
method Developed a greedy algorithm using Monte Carlo simulation.
result Greedy solution is a good approximation to the optimal solution.
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
The paper optimizes retirement spending considering habit formation and pension income.
problem Optimizing lifetime consumption under habit formation and pension income.
method Time inhomogeneous stochastic control problem with numerical solution using finite difference scheme.
result Consumption patterns change over time based on habit and optimal strategy.
This paper analyzes optimal consumption strategies for loss-averse investors with multiplicative habit formation.
problem Optimal consumption strategies for loss-averse investors with multiplicative habit formation.
method The study uses a concave envelope of the S-shaped utility function and a nonlinear free boundary problem to analyze the HJB equation.
result The paper provides optimal consumption and investment policies in feedback form.
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices but not the instantaneous rate of return. Applying the …
This paper studies the optimal consumption under the addictive habit formation preference in markets with transaction costs and unbounded random endowments. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At the terminal time T, the investor can receive unb…
Study optimal investment and consumption strategies for competitive agents with habit formation.
problem Optimal investment and consumption strategies for competitive agents with habit formation.
method Formulated n-agent game problems and mean field game problems, derived mean field equilibrium, constructed approximate Nash equilibrium.
result Explicit convergence order of approximate Nash equilibrium can be obtained.
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 incomplete markets and random endowments. This characterization allows us to derive the monotonicity and concavity of the optimal consumption as a…
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investo…
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 establish estimates for the optimal consumption stream in terms of the aggregate state price density, investigate the asymptotic behaviour of…
Model asset pricing with habit formation in a large market.
problem Understanding asset pricing in large heterogeneous markets with habit formation.
method Mean field game theory and quadratic-growth mean field BSDEs.
result Derives a semi-analytic solution for asset pricing model.
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
problem Complexity of annuitization decisions due to longevity risk and labor force participation.
method Stochastic control and optimal stopping framework with habit formation and endogenous labor supply.
result Rich sequence of retirement dynamics, including defensive and aggressive labor supply phases.
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In terms of economic motivation, this constraint represents a type of habit format…
The paper analyzes optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.
problem Optimal retirement decision in a market with habit persistence and jump diffusion.
method Habit reduction method and duality approach to solve the dual problem using a C1 version of Itô's formula. result Discontinuous investment strategies are possible when the so-called ``de facto wealth'' exceeds a critical proportion of wage.
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility maximization problem with a sh…
Proposes a new consumption strategy based on martingale principles.
problem Optimizing consumption based on investment strategies without risk preferences.
method Introduces martingale consumption as a consumption pattern that adjusts to expected future consumption.
result Identifies explicit solutions in deterministic models and establishes uniqueness in general cases.
Many aspects of life are associated with places of human mobility patterns and nowadays we are facing an increase in the pervasiveness of mobile devices these individuals carry. Positioning technologies that serve these devices such as the cellular antenna (GSM networks), global navigation satellite systems (GPS), and …
We explore the efficacy of using a novel activation function in Artificial Neural Networks (ANN) in characterizing exoplanets into different classes. We call this Saha-Bora Activation Function (SBAF) as the motivation is derived from long standing understanding of using advanced calculus in modeling habitability score …
Blended courses that mix in-person instruction with online platforms are increasingly popular in secondary education. These tools record a rich amount of data on students' study habits and social interactions. Prior research has shown that these metrics are correlated with students' performance in face to face classes.…
We present analytical exploration of novel activation functions as consequence of integration of several ideas leading to implementation and subsequent use in habitability classification of exoplanets. Neural networks, although a powerful engine in supervised methods, often require expensive tuning efforts for optimize…
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied by Dybvig (1995) [Review …
Develops asset pricing models with mean field game theory for heterogeneous agents.
problem Tackles equilibrium asset pricing in incomplete markets with heterogeneous agents.
method Uses mean field game theory and mean field backward stochastic differential equations (BSDEs).
result Derives equilibrium risk premium and shows market clearing in the large population limit.
Study optimal retirement time and consumption with habitual persistence.
problem Understanding retirement consumption patterns with habitual persistence.
method Established concise habitual evolution, used martingale and duality methods.
result Optimal consumption declines sharply at retirement but excess consumption increases.
Study optimal consumption for loss-averse agents considering past spending peaks.
problem Optimal consumption for loss-averse agents with reference to past spending maximum.
method Adopted S-shaped utility, concave envelope, HJB variational inequality, dual transform, and smooth-fit conditions.
result Obtained piecewise closed-form solutions for optimal consumption and investment control.
Study many-player investment-consumption games with power FPPs, finding market-risk preference affects consumption.
problem Investment and consumption optimization in a mean field competition setting.
method Solve many-player and mean field games using power FPPs, providing closed-form solutions.
result Market-risk relative consumption preference affects agent's consumption decisions.
Solves pair trading problem using consumption-investment theory.
problem Pair trading consumption-investment problem
method Reduces HJB equation to a linear parabolic equation solvable explicitly
result Simple solution to pair trading problem
Investor optimizes investment and consumption under uncertain market conditions with constraints.
problem Investor optimizes investment and consumption in a stochastic environment with model uncertainty and constraints.
method Robust control problem solved using stochastic Hamilton-Jacobi-Bellman-Isaacs equations, backward stochastic differential equations, and bounded mean oscillation martingale theory.
result Investor incurs utility loss when ignoring model uncertainty, and constraints impact optimal strategy and value function.
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
problem Investor's optimal consumption and investment under consumption-wealth utility and borrowing constraint.
method Second-order smoothness of value function, optimal consumption-investment policy in feedback form, smooth fit condition.
result The value function is second-order smooth and the constraint is binding under certain conditions.
Paper uses CVAE to simulate tariff impacts on electricity consumption.
problem Simulating tariff impacts on household electricity consumption.
method CVAE-based clustering and generation of consumption profiles.
result CVAE method can reproduce rebound and side effects in consumption profiles.
Paper examines power consumption in neural networks using various activation functions.
problem Power consumption in machine learning models.
method Examines power consumption for different activation functions.
result Substantial differences in power consumption exist between activation functions.
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linea…
The paper analyzes optimal consumption with past spending maximum as a reference.
problem Optimal consumption with past spending maximum as a reference.
method Path-dependent exponential utility, Hamilton-Jacobi-Bellman (HJB) equation, dual transform, smooth-fit principle.
result Closed-form solutions for optimal investment and consumption strategies in each region.
The paper solves a consumption-investment problem with state-dependent lower bounds.
problem A life-time consumption-investment problem with a state-dependent lower bound on consumption.
method Transformed the problem into a state-independent control problem to apply standard theory.
result Explicit optimal strategies provided for both homogeneous and non-homogeneous constraints.
Intertemporal model for cost-efficient consumption using copulas.
problem Optimizing consumption over time considering risk preferences.
method Copulas for intertemporal structure, Distribution Builder for risk preferences, Black-Scholes and CEV models for demonstration.
result Demonstrates cost-efficient consumption model using copulas.
Study optimal consumption and investment strategies with constraints in a market with random coefficients.
problem Optimal consumption and investment strategies with constraints in a regime switching market with random coefficients.
method Explicit optimal strategies provided via solutions to new BSDE systems.
result Solving new BSDEs to find optimal values and strategies.
In a recent work (Chattopadhyay, A. K. et al, Europhys. Lett. {\bf 91}, 58003, 2010) based on food consumption statistics, we showed how a stochastic agent based model could represent the time variation of the income distribution statistics in a developing economy, thereby defining an alternative \enquote{poverty index…
Investment herding can reduce household consumption, a phenomenon called crowding-out effect.
problem Investment herding's impact on household consumption.
method Optimal control theory to model and solve for household investment and consumption decisions.
result Existence of crowding-out effect due to investment herding.
Study optimal consumption with relaxed benchmarks and drawdown constraints.
problem Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint.
method Transformed stochastic control problem into regular control problem with state-control constraints, then solved using dual transform and optimal consumption behavior.
result Closed-form solution for optimal investment and consumption in feedback form.
Paper proposes personalized climate control for driver comfort.
problem Limited research on in-vehicle climate control and driver preferences.
method IoT platform for data collection, machine learning for driver behavior recognition, and personalized preference recommendation.
result Prototype demonstrates effective and accurate climate control for driver comfort.
Electricity consumption has increased exponentially during the past few decades. This increase is heavily burdening the electricity distributors. Therefore, predicting the future demand for electricity consumption will provide an upper hand to the electricity distributor. Predicting electricity consumption requires man…
The steel industry has great impacts on the economy and the environment of both developed and underdeveloped countries. The importance of this industry and these impacts have led many researchers to investigate the relationship between a country's steel consumption and its economic activity resulting in the so-called i…
New method identifies how platforms can influence consumer behavior.
problem Estimating the causal effect of digital platforms on consumption.
method General causal inference problem, focusing on observational designs, and explicitly modeling consumption dynamics.
result Exogenous variation in consumption and responsive algorithmic control actions are sufficient for identifying steerability of consumption.
Modeling consumption and investment decisions with reference point and drawdown constraints.
problem Modeling consumption and investment decisions with reference point and drawdown constraints.
method Solving a stochastic control problem to derive value function, optimal consumption plan, and investment strategy in semi-explicit forms.
result Five important thresholds of wealth, all as functions of h, and significant economic implications.