An optimal consumption and investment problem with stochastic hyperbolic discounting

被引：1
|
作者：
Shin, Yong Hyun [1 ,2 ]
Roh, Kum-Hwan [3 ]
机构：
[1] Sookmyung Womens Univ, Dept Math, Seoul, South Korea
[2] Sookmyung Womens Univ, Res Inst Nat Sci, Seoul, South Korea
[3] Hannam Univ, Dept Math, Daejeon, South Korea
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2019年 / 2019卷 / 1期
基金：
新加坡国家研究基金会;
关键词：
Portfolio selection; Stochastic hyperbolic discounting; Dynamic programming method; PORTFOLIO SELECTION; UNCERTAINTY;
D O I：
10.1186/s13662-019-2144-y
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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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页数：7
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