Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/239502 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-27
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
equilibrium strategies
investment-consumption problem
Merton portfolio problem
non-exponential discounting
stochastic maximum principle
stochastic optimization
time inconsistency
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
425.68 kB





Publikationen in EconStor sind urheberrechtlich geschützt.