Artikel
Time-consistent investment and consumption strategies under a general discount function
In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of open-loop controls that are characterized, in our context, by means of a variational method which leads to a stochastic system that consists of a flow of forward-backward stochastic differential equations and an equilibrium condition. An explicit representation of the equilibrium policies is provided for the special cases of power, logarithmic and exponential utility functions.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 2 ; Pages: 1-27 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
equilibrium strategies
investment-consumption problem
Merton portfolio problem
non-exponential discounting
stochastic maximum principle
stochastic optimization
time inconsistency
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alia, Ishak
Chighoub, Farid
Khelfallah, Nabil
Vives, Josep
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
-
doi:10.3390/jrfm14020086
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Alia, Ishak
- Chighoub, Farid
- Khelfallah, Nabil
- Vives, Josep
- MDPI
Entstanden
- 2021
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