{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,26]],"date-time":"2026-10-26T02:34:58Z","timestamp":1792982098125,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":54,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We study optimal consumption and investment with asymmetric proportional costs on changes in consumption utility in an incomplete market driven by a fast stochastic-volatility factor. For general smooth utility, the averaged-market problem admits an explicit dual integral representation: two utility-independent thresholds determine the marginal-utility inaction region, while utility curvature enters through the transformation to wealth. The resulting reflected feedback strategy has a value expansion through the square-root timescale correction, with an error of the order of the timescale parameter. Under smooth power-tail conditions and a Sharpe ratio bounded away from zero, a gradient-preserving dual supersolution gives an optimality gap of the same order over all admissible strategies. Under additional local marginal regularity, nondegeneracy, and matching assumptions, a conditional boundary theorem identifies a canonical marginal layer, its invariant-mean displacement, and the transfer from profile error to trigger error. Numerical cell solutions show that factor-dependent trigger oscillations can greatly exceed the invariant-mean correction and persist at zero correlation. Infinite downward-adjustment cost yields consumption ratcheting, with risk tolerance proportional to wealth above the perpetuity cost of current consumption. The large-penalty limit is nonuniform: values converge at fixed feasible states, but finitecost consumption-decrease triggers approach a level strictly below the ratcheting solvency floor. Exact first-passage formulas and reproducible calculations quantify adjustment timing, endogenous risk aversion, wealth-equivalent rigidity costs, and volatility effects.<\/jats:p>","DOI":"10.2139\/ssrn.7498418","type":"posted-content","created":{"date-parts":[[2026,9,22]],"date-time":"2026-09-22T05:47:00Z","timestamp":1790056020000},"source":"Crossref","is-referenced-by-count":0,"title":["Consumption and Portfolio Choice with Intertemporal Loss Aversion under Stochastic Volatility"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1091-9745","authenticated-orcid":true,"given":"Junkee","family":"Jeon","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"2","key":"ref1","doi-asserted-by":"crossref","first-page":"547","DOI":"10.1137\/18M119567X","article-title":"Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates","volume":"10","author":"B 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