Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/19M1303782
Reference18 articles.
1. Specious reward: A behavioral theory of impulsiveness and impulse control.
2. A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
3. Time-Consistent Investment and Consumption Strategies under a General Discount Function
4. On time-inconsistent stochastic control in continuous time
5. OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
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