کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099539 | 1377014 | 2011 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal consumption and investment under time-varying relative risk aversion
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Optimal consumption and investment under time-varying relative risk aversion Optimal consumption and investment under time-varying relative risk aversion](/preview/png/5099539.png)
چکیده انگلیسی
We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion with respect to consumption varies with time, having in mind an investor with age-dependent risk aversion. This provides a new motivation for life-cycle investment rules. We study the optimal consumption and investment rules, in particular in the case where the relative risk aversion with respect to consumption is increasing with age.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 5, May 2011, Pages 659-667
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 5, May 2011, Pages 659-667
نویسندگان
Mogens Steffensen,