Consumption and portfolio rules for time-inconsistent investors

DOI10.1016/j.ejor.2009.04.005zbMath1180.91270arXiv0901.2484OpenAlexW2151801896MaRDI QIDQ1038346

Publication date: 17 November 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.2484

zbMATH Keywords

dynamic programming finance time inconsistency non-constant discounting naive and sophisticated agents consumption and portfolio rules

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Portfolio theory (91G10)

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