Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142219 | Operations Research Letters | 2016 | 7 Pages |
Abstract
This paper considers the optimal investment problem for a fund manager who has time-inconsistent preferences and is compensated with a HWM contract. The time preferences of fund manager is described by the stochastic hyperbolic discounting function. The closed-form solution under certain conditions is provided by applying the dynamic programming approach. Interestingly, we find that the sophisticated fund manager is present-biased. The more the fund manager has present-biased preference, there is the greater inclination to increase the proportion in risky asset.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Chunxiang A, Zhongfei Li, Fan Wang,