KCI등재
학술저널
PORTFOLIO SELECTION WITH HYPERBOLIC DISCOUNTING AND INFLATION RISK
- Byung Hwa Lim
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 34, No. 2
- 등재여부 : KCI등재
- 2021.05
- 169 - 180 (12 pages)
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.
1. Introduction
2. Model setup
3. Problem and HJB equation
4. Optimal policies
5. Conclusion
References