논문
학술저널
PORTFOLIO SELECTION WITH HYPERBOLIC DISCOUNTING AND INFLATION RISK
간행물 정보
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 34, No. 2
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2021.05169 - 180 (12 pages)
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DOI : 10.14403/jcms.2021.34.2.169
저자
- 이용수 6
키워드
초록
This paper investigates the time-inconsistent agent s optimal consumption and investment problem under inflation risk. The agents discount factor is governed by hyperbolic discounting, which has a random time to change. We impose the inflation risk which plays a crucial role in long-term financial planning. We derive the semi-analytic solution to the problem of sophisticated agents when the time horizon is finite.
목차
1. Introduction
2. Model setup
3. Problem and HJB equation
4. Optimal policies
5. Conclusion
References
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