An optimal consumption and investment problem with stochastic hyperbolic discounting
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Shin, Yong Hyun | - |
dc.contributor.author | Roh, Kum-Hwan | - |
dc.date.available | 2021-02-22T06:45:25Z | - |
dc.date.issued | 2019-05 | - |
dc.identifier.issn | 1687-1839 | - |
dc.identifier.issn | 1687-1847 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/3655 | - |
dc.description.abstract | In this paper, we analyze the optimal consumption and investment problem of an agent by incorporating the stochastic hyperbolic preferences with constant relative risk aversion utility. Using the dynamic programming method, we deal with the optimization problem in a continuous-time model. And we provide the closed-form solutions of the optimization problem. | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | SPRINGEROPEN | - |
dc.title | An optimal consumption and investment problem with stochastic hyperbolic discounting | - |
dc.type | Article | - |
dc.publisher.location | 영국 | - |
dc.identifier.doi | 10.1186/s13662-019-2144-y | - |
dc.identifier.scopusid | 2-s2.0-85066483868 | - |
dc.identifier.wosid | 000469436600002 | - |
dc.identifier.bibliographicCitation | ADVANCES IN DIFFERENCE EQUATIONS, v.2019, no.1 | - |
dc.citation.title | ADVANCES IN DIFFERENCE EQUATIONS | - |
dc.citation.volume | 2019 | - |
dc.citation.number | 1 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | Y | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
dc.subject.keywordPlus | UNCERTAINTY | - |
dc.subject.keywordAuthor | Portfolio selection | - |
dc.subject.keywordAuthor | Stochastic hyperbolic discounting | - |
dc.subject.keywordAuthor | Dynamic programming method | - |
dc.identifier.url | https://advancesindifferenceequations.springeropen.com/articles/10.1186/s13662-019-2144-y | - |
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