상세 보기
An optimal consumption and investment problem with stochastic hyperbolic discounting
- Shin, Yong Hyun;
- Roh, Kum-Hwan
Citations
WEB OF SCIENCE
1Citations
SCOPUS
2초록
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.
키워드
Portfolio selection; Stochastic hyperbolic discounting; Dynamic programming method; PORTFOLIO SELECTION; UNCERTAINTY
- 제목
- An optimal consumption and investment problem with stochastic hyperbolic discounting
- 저자
- Shin, Yong Hyun; Roh, Kum-Hwan
- 발행일
- 2019-05
- 유형
- Article
- 권
- 2019
- 호
- 1