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An optimal consumption and investment problem with stochastic hyperbolic discounting

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dc.contributor.authorShin, Yong Hyun-
dc.contributor.authorRoh, Kum-Hwan-
dc.date.available2021-02-22T06:45:25Z-
dc.date.issued2019-05-
dc.identifier.issn1687-1839-
dc.identifier.issn1687-1847-
dc.identifier.urihttps://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/3655-
dc.description.abstractIn 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.language영어-
dc.language.isoENG-
dc.publisherSPRINGEROPEN-
dc.titleAn optimal consumption and investment problem with stochastic hyperbolic discounting-
dc.typeArticle-
dc.publisher.location영국-
dc.identifier.doi10.1186/s13662-019-2144-y-
dc.identifier.scopusid2-s2.0-85066483868-
dc.identifier.wosid000469436600002-
dc.identifier.bibliographicCitationADVANCES IN DIFFERENCE EQUATIONS, v.2019, no.1-
dc.citation.titleADVANCES IN DIFFERENCE EQUATIONS-
dc.citation.volume2019-
dc.citation.number1-
dc.type.docTypeArticle-
dc.description.isOpenAccessY-
dc.description.journalRegisteredClassscie-
dc.description.journalRegisteredClassscopus-
dc.relation.journalResearchAreaMathematics-
dc.relation.journalWebOfScienceCategoryMathematics, Applied-
dc.relation.journalWebOfScienceCategoryMathematics-
dc.subject.keywordPlusPORTFOLIO SELECTION-
dc.subject.keywordPlusUNCERTAINTY-
dc.subject.keywordAuthorPortfolio selection-
dc.subject.keywordAuthorStochastic hyperbolic discounting-
dc.subject.keywordAuthorDynamic programming method-
dc.identifier.urlhttps://advancesindifferenceequations.springeropen.com/articles/10.1186/s13662-019-2144-y-
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