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We investigate the optimal consumption and investment decision problem of an agent whose time preference is time-inconsistent. Specifically, for a time-separable utility function, the agent's subjective discount factor is supposed to be changed randomly in the future. We provide closed-form solutions in the presence of income process. The method can be extended into the case with a stochastic income process.
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참고문헌 (8)
참고문헌 신청
C. Harris / 2013 / Instantaneous gratification / Quart. J. Econom 128:205~248
D.I. Laibson / 1997 / Golden Eggs and Hyperbolic Discounting / Quart. J. Econom 112:443~477
J. Marín-Solano / 2010 / Consumption and Portfolio Rules for Time-Inconsistent Investors / European J. Oper. Res 201:860~872
R. C. Merton / 1969 / Lifetime Portfolio Selection under Uncertainty: the Continuous-Time Case / Rev. Econ. Stat 51:247~257
R. C. Merton / 1971 / Optimum Consumption and Portfolio Rules in a Continuous-Time Model / J. Econ. Theory 3:373~413
D.I. Laibson / 1997 / Golden Eggs and Hyperbolic Discounting / Quart. J. Econom 112:443~477
J. Marín-Solano / 2010 / Consumption and Portfolio Rules for Time-Inconsistent Investors / European J. Oper. Res 201:860~872
R. C. Merton / 1969 / Lifetime Portfolio Selection under Uncertainty: the Continuous-Time Case / Rev. Econ. Stat 51:247~257
R. C. Merton / 1971 / Optimum Consumption and Portfolio Rules in a Continuous-Time Model / J. Econ. Theory 3:373~413
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