Pérez Kakabadse, Alonso; Palacios Huerta, Ignacio - Departamento de Fundamentos del Análisis Económico I, … - 2013
We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce stochastic hyperbolic preferences as in Harris and Laibson (2013) and find...