On a Non-Standard Stochastic Control Problem

Economy – Quantitative Finance – Portfolio Management

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker. Following Ekeland and Pirvu 2006, we introduce the notion of equilibrium policies and we characterize them by an integral equation. The main idea is to come up with the value function in this context. If risk preferences are of CRRA type, the integral equation which characterizes the value function is shown to have a solution which leads to an equilibrium policy. This work is an extension of Ekeland and Pirvu 2006.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

On a Non-Standard Stochastic Control Problem does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On a Non-Standard Stochastic Control Problem, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On a Non-Standard Stochastic Control Problem will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-162333

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.