The Optimal Investment-consumption Model With Reference Dependent Utility

There are two types of investment-consumption models:one is the discrecte-time investment-consumption model and the other is the continuous-time investment consumption model. In this article we investigate the multi-period optimal investment-consumption problem in which the utility function is HARA. The utility depends both on his own current and previous consumption and on consumption by his relevant others. There are a riskless asset and a risky asset in the market. The economic environment uncertainty is subject to a Markov process. This means the interest rate of risky asset depends on the state of the economic environment. Finally, a special case is considered.