Asset pricing with dynamically inconsistent agents

DOI10.1007/s00780-023-00516-yzbMath1527.91170OpenAlexW4387118813MaRDI QIDQ6074012

Mariana Khapko

Publication date: 12 October 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-023-00516-y

zbMATH Keywords

asset pricingequilibriumtime inconsistencynon-exponential discountingstate-dependent risk aversion

Mathematics Subject Classification ID

Noncooperative games (91A10) Applications of game theory (91A80) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Consumption-Savings Decisions with Quasi-Geometric Discounting
• Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents

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