Optimal consumption and investment under irrational beliefs

DOI10.3934/JIMO.2011.7.139MaRDI QIDQ542579zbMATH OpenOpenAlexFDO

Authors Lihong Zhang, Lei Sun

Publication date 10 June 2011

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

optimizationinvestmentconsumptionirrational belief

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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