Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
Year of publication: |
March 2018
|
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Authors: | Wu, Huiling ; Weng, Chengguo ; Zeng, Yan |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 40.2018, 2, p. 541-582
|
Subject: | Nash equilibrium | Stochastic discount rate | Investment-consumption | Regime switching | Portfolio-Management | Portfolio selection | Diskontierung | Discounting | Konsumtheorie | Consumption theory | Kapitaleinkommen | Capital income | Nutzenfunktion | Utility function | CAPM |
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