Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
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Publication:1656433
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Consistent Plans
- Constant proportion portfolio insurance under a regime switching exponential Lévy process
- Consumption and portfolio rules for time-inconsistent investors
- Continuous time mean variance asset allocation: a time-consistent strategy
- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- Goal-setting and self-control
- HARA frontiers of optimal portfolios in stochastic markets
- scientific article; zbMATH DE number 422181 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Inconsistent investment and consumption problems
- Instantaneous Gratification *
- Investment and consumption without commitment
- Investment-consumption with regime-switching discount rates
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Mean-variance portfolio optimization with state-dependent risk aversion
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
- Non-constant discounting in finite horizon: the free terminal time case
- Optimal investment-consumption strategy in a discrete-time model with regime switching
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio selection in stochastic markets with exponential utility functions
- Portfolio selection in stochastic markets with HARA utility functions
- Ramsey Meets Laibson in the Neoclassical Growth Model
- Time-consistent portfolio management
Cited in
(6)- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Investment-consumption with regime-switching discount rates
- Multi-period mean-variance portfolio optimization in Markovian regime-switching markets with market path-dependent uncertain exit time
- Necessary and sufficient conditions for open-loop equilibrium portfolio for a DC pension plan with piecewise linear state-dependent risk tolerance
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