Optimal consumption under loss-averse multiplicative habit-formation preferences

By Bahman Angoshtari, Xiang Yu, Fengyi Yuan

Published 2024-06-28

Everscope rating

1434.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic Control Theory. Problem types: Portfolio Optimization, Risk Management.

arXiv:2406.20063 · Paper rankings

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