Nonrecursive separation of risk and time preferences

DOI10.1016/J.JMATECO.2020.07.002MaRDI QIDQ2201707zbMATH OpenOpenAlexFDO

Authors Matthias A. Fahrenwaldt, Ninna Reitzel Jensen, Mogens Steffensen

Publication date 17 September 2020

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2020.07.002

zbMATH Keywords

recursive utilitytime-consistencyequilibrium strategiescertainty equivalentsgeneralized Hamilton-Jacobi-Bellman equationtime-global preferences

Mathematics Subject Classification ID

Individual preferences (91B08) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 3778468 (Why is no real title available?)
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• A theory of Markovian time-inconsistent stochastic control in discrete time
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• Consistent Plans
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• Dynamic Choice Theory and Dynamic Programming
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• Golden Eggs and Hyperbolic Discounting
• Inconsistent investment and consumption problems
• Investment and consumption without commitment
• Investment-consumption with regime-switching discount rates
• Life insurance decisions under recursive utility
• Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
• Mean-variance portfolio optimization with state-dependent risk aversion
• On time-inconsistent stochastic control in continuous time
• Optimal consumption and portfolio selection with stochastic differential utility
• Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
• Personal finance and life insurance under separation of risk aversion and elasticity of substitution
• Recursive utility and preferences for information
• Reexamination of the perfectness concept for equilibrium points in extensive games
• Stochastic Differential Utility
• Stochastic Partial Differential Equations and Portfolio Choice
• Stochastic differential utility as the continuous-time limit of recursive utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Time-consistent portfolio management

Cited in

(4)

• Equilibrium investment with random risk aversion
• Measuring time and risk preferences in an integrated framework
• Risk Aversion, Indivisible Timing Options, and Gambling
• On the rate of time preference under recursive preferences

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