Non-exponential discounting portfolio management with habit formation

DOI10.3934/MCRF.2020019MaRDI QIDQ828997zbMATH OpenOpenAlexFDO

Authors Jingzhen Liu, Liyuan Lin, Jiaqin Wei, Ka Fai Cedric Yiu

Publication date 5 May 2021

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2020019

zbMATH Keywords

optimal portfolionon-exponential discountinghabit formationoptimal insuranceextended Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

Recommendations

• Investment and consumption without commitment
• Time-consistent portfolio management
• Non-constant discounting and consumption, portfolio and life insurance rules
• Consumption and portfolio rules for time-inconsistent investors
• Robust optimal consumption-investment strategy with non-exponential discounting

Cites work

• A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
• A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
• Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
• Exponential utility maximization for an insurer with time-inconsistent preferences
• Golden Eggs and Hyperbolic Discounting
• Mean-variance portfolio optimization with state-dependent risk aversion
• Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
• On time-inconsistent stochastic control in continuous time
• Optimal Consumption‐Portfolio Policies With Habit Formation¹
• Optimal consumption, life insurance and investment decision with habit formation
• Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
• Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
• Time-consistent portfolio management
• Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(7)

• Non-constant discounting and consumption, portfolio and life insurance rules
• Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
• A greedy algorithm for habit formation under multiplicative utility
• Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
• Time-consistent lifetime portfolio selection under smooth ambiguity
• Optimal portfolio selection with life insurance under subjective survival belief and habit formation
• Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach

This page was built for publication: Non-exponential discounting portfolio management with habit formation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q828997)