Time-consistent portfolio optimization

DOI10.1016/j.ejor.2020.05.061zbMath1487.91127OpenAlexW3034486914MaRDI QIDQ2028852

Peter E. Kloeden, Ling Peng

Publication date: 3 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.05.061

zbMATH Keywords

life insurancetime-consistencyheterogeneous quasi-hyperbolic preferences

Mathematics Subject Classification ID

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

Related Items (1)

Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions

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