A consumption-investment problem with heterogeneous discounting
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Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 4118220 (Why is no real title available?)
- A theory of Markovian time-inconsistent stochastic control in discrete time
- An investigation of time inconsistency
- An optimal consumption model with stochastic volatility
- Consumption and portfolio rules for time-inconsistent investors
- Controlled Markov processes and viscosity solutions
- Foundations of Dynamic Economic Analysis
- Heterogeneous discounting in economic problems
- Investment and consumption without commitment
- Non-constant discounting and differential games with random time horizon
- Non-constant discounting in continuous time
- Non-hyperbolic time inconsistency
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic Control in Discrete and Continuous Time
Cited in
(25)- Time-consistent portfolio optimization
- On time-consistent policy rules for heterogeneous discounting programs
- Investment and consumption without commitment
- Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- Heterogeneous discounting in economic problems
- Non-constant discounting and consumption, portfolio and life insurance rules
- Sustainable solution for hybrid differential game with regime shifts and random duration
- A defined benefit pension plan model with stochastic salary and heterogeneous discounting
- scientific article; zbMATH DE number 5205452 (Why is no real title available?)
- A Stochastic Model of Mutual Insurance under Heterogeneous Time Preferences
- Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
- Investment-consumption with regime-switching discount rates
- Consumption and portfolio rules for time-inconsistent investors
- Do time preferences matter in intertemporal consumption and portfolio decisions?
- An optimal consumption and investment problem with stochastic hyperbolic discounting
- Consumption smoothing and discounting in infinite-horizon, discrete-choice problems
- Consumption, investment and life insurance strategies with heterogeneous discounting
- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- Non-constant discounting in finite horizon: the free terminal time case
- On the concavity of the consumption function with the time varying discount rate
- Preference heterogeneity and its equilibrium path
- Time-inconsistent portfolio investment problems
- Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
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