Asset pricing with dynamically inconsistent agents

DOI10.1007/S00780-023-00516-YMaRDI QIDQ6074012zbMATH OpenOpenAlexFDO

Authors Mariana Khapko

Publication date 12 October 2023

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-023-00516-y

zbMATH Keywords

equilibriumtime inconsistencyasset pricingnon-exponential discountingstate-dependent risk aversion

Mathematics Subject Classification ID

Applications of game theory (91A80) Noncooperative games (91A10) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• An Intertemporal General Equilibrium Model of Asset Prices
• Arbitrage Theory in Continuous Time
• Asset Prices in an Exchange Economy
• Consumption-Savings Decisions with Quasi-Geometric Discounting
• Dynamic Choices of Hyperbolic Consumers
• Golden Eggs and Hyperbolic Discounting
• Instantaneous Gratification *
• Investment and consumption without commitment
• Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
• Multiple solutions under quasi-exponential discounting
• On the equilibrium strategies for time-inconsistent problems in continuous time
• On time-inconsistent stochastic control in continuous time
• Projection Bias in Predicting Future Utility
• Strong and weak equilibria for time-inconsistent stochastic control in continuous time
• The golden rule when preferences are time inconsistent
• Time-inconsistent control theory with finance applications

Cited in

(6)

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Asset pricing in an imperfect world
• Asset pricing with heterogeneous beliefs and illiquidity
• Asset pricing with flexible beliefs
• Shaking the tree: an agency-theoretic model of asset pricing
• Asset price dynamics among heterogeneous interacting agents

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