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An optimal consumption and investment problem with stochastic hyperbolic discountingopen access

Authors
Shin, Yong HyunRoh, Kum-Hwan
Issue Date
May-2019
Publisher
SPRINGEROPEN
Keywords
Portfolio selection; Stochastic hyperbolic discounting; Dynamic programming method
Citation
ADVANCES IN DIFFERENCE EQUATIONS, v.2019, no.1
Journal Title
ADVANCES IN DIFFERENCE EQUATIONS
Volume
2019
Number
1
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/3655
DOI
10.1186/s13662-019-2144-y
ISSN
1687-1839
1687-1847
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.
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