An optimal consumption and investment problem with stochastic hyperbolic discounting
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. A...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-05-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-019-2144-y |