Optimal consumption and investment under irrational beliefs

DOI10.3934/JIMO.2011.7.139zbMATH Open1214.91108OpenAlexW2065606334MaRDI QIDQ542579FDOQ542579

Authors: Lihong Zhang, Lei Sun 

Publication date: 10 June 2011

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2011.7.139

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zbMATH Keywords

optimizationinvestmentconsumptionirrational belief

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Stochastic models in economics (91B70)

Cited In (7)

• Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
• Unbiased disagreement in financial markets, waves of pessimism and the risk-return trade-off
• Optimal consumption-portfolio rules with biased beliefs
• Optimal irrational behavior in continuous time
• Optimal consumption with reference-dependent preferences in on-the-job search and savings
• Optimism bias, portfolio delegation, and economic welfare
• Bounded Rationality and Asset Pricing with Intermediate Consumption*

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