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Optimal consumption with reference to past spending maximum
This paper studies the infinite-horizon optimal consumption problem with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical consumption maximum. The consumption running maximum...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8906163/ http://dx.doi.org/10.1007/s00780-022-00475-w |