An Isomorphism Between Asset Pricing Models With and Without Linear Habit Formation
By Mark Schroder, Costis Skiadas. 2002
102 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/819295f83df2f3c0e97cfa6ba03f7030269f7888
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Michael W. Brandt
- Costis Skiadas
- Christopher S. Jones
- Holger Kraft
- Tim Bollerslev
- Garland B. Durham
- Qiang Kang
- V. Todorov
In Finance
- Michael W. Brandt
- Costis Skiadas
- Christopher S. Jones
- Holger Kraft
- Tim Bollerslev
- Garland B. Durham
- V. Todorov
- Guofu Zhou
Citations in the corpus
- Dynamic Portfolio Choice and Risk Aversion (2007, background): “Schroder and Skiadas (2002) showed that, by redefining consumption, a formulation with linear habit formation can be transformed to an equivalent one without habit formation.”
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv (2003, unknown): “Ifmarkets are complete, or under conical constraints with deterministic short rate, the isomorphism of Schroder and Skiadas (2002) can be used to mechanically transform this paper’s solutions to solutions incorporating linear habit formation.”
- Portfolio Choice Problems (2010, background): “Campbell and Viceira (1999) and Schroder and Skiadas (1999)) consider these generalized CRRA preferences in portfolio choice problems.”