کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478721 1446132 2010 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Consumption and portfolio rules for time-inconsistent investors
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Consumption and portfolio rules for time-inconsistent investors
چکیده انگلیسی

This paper extends the classical consumption and portfolio rules model in continuous time [Merton, R.C., 1969. Lifetime portfolio selection under uncertainty: The continuous time case. Review of Economics and Statistics 51, 247–257, Merton, R.C., 1971. Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory 3, 373–413] to the framework of decision-makers with time-inconsistent preferences. The model is solved for different utility functions for both, naive and sophisticated agents, and the results are compared. In order to solve the problem for sophisticated agents, we derive a modified HJB (Hamilton–Jacobi–Bellman) equation. It is illustrated how for CRRA functions within the family of HARA functions (logarithmic and power utilities) the optimal portfolio rule does not depend on the discount rate, but this is not the case for a general utility function, such as the exponential (CARA) utility function.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 201, Issue 3, 16 March 2010, Pages 860–872
نویسندگان
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