Explicit characterizations of financial prices with history-dependent utility

2025-02-21 Classification：history Click()
Author：Haug, J

Article Title：Explicit characterizations of financial prices with history-dependent utility

Abstract：
The present paper demonstrates how explicit representations of financial prices and returns can be derived in economies with history-dependent utility. While the techniques are applicable to a wide range of economies, they are applied to a representative consumer economy where (i) the consumer's preferences exhibit habit formation, and (ii) purchases of the consumption good also gives rise to a flow of services. Solutions are computed for the case of multiplicative or nonlinear habit formation, and additive service flows. Other applications are also indicated. (C) 2001 Elsevier Science B.V. All rights reserved.

Keywords: multiplicative (nonlinear) habit formation; dual-attribute good; history-dependent utility; equilibrium asset pricing; Malliavin calculus

DOI: 10.1016/S0304-4068(01)00082-9

Source：JOURNAL OF MATHEMATICAL ECONOMICS

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