英文标题：
《Optimal Entry and Consumption under Habit Formation》
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作者：
Yue Yang and Xiang Yu
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最新提交年份：
2021
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英文摘要：
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 investor terminates the costly full information acquisition and starts dynamic investment and consumption under partial observations of free public stock prices. The habit formation preference is employed, in which the past consumption affects the investor\'s current decisions. By using the stochastic Perron\'s method, the value function of the composite problem is proved to be the unique viscosity solution of some variational inequalities.
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中文摘要：
本文研究了一个包含最优进入时间和动态消费决策的组合问题。在第1阶段，投资者可以获得完整的市场信息，但要承受一定的信息成本，需要选择最佳的停止时间来启动第2阶段；在第二阶段，投资者终止代价高昂的全面信息获取，并在部分观察自由公开股票价格的情况下开始动态投资和消费。采用习惯形成偏好，即过去的消费影响投资者当前的决策。利用随机Perron方法，证明了复合问题的值函数是一些变分不等式的唯一粘性解。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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