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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/194105
Time-consistent investment and consumption strategies under a general discount function
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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.
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ALIA, Ishak, et al. Time-consistent investment and consumption strategies under a general discount function. Journal of Risk and Financial Management. 2021. Vol. 14, num. 2. ISSN 1911-8074. [consulted: 16 of June of 2026]. Available at: https://hdl.handle.net/2445/194105