Time-consistent investment and consumption strategies under a general discount function
| Autor: | Alia, I., Chighoub, F., Khelfallah, N., Vives, J. |
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| Rok vydání: | 2017 |
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| Druh dokumentu: | Working Paper |
| Popis: | The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that give rise to time-inconsistency of the decision maker. Equilibrium policies are characterized in this 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. Comment: 28 pages. arXiv admin note: text overlap with arXiv:0901.2484, arXiv:0708.0588 by other authors |
| Databáze: | arXiv |
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