Search Results - subject:"Non-exponential discounting"

Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting

Wang, Yike; Liu, Jingzhen; Siu, Tak Kuen - In: Finance and stochastics 28 (2024) 1, pp. 161-214

Persistent link: https://www.econbiz.de/10014447662

Time-consistent investment and consumption strategies under a general discount function

Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-27

In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential … discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the …

Persistent link: https://www.econbiz.de/10012611643

Time-consistent investment and consumption strategies under a general discount function

Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of risk and financial management : JRFM 14 (2021) 2/86, pp. 1-27

Persistent link: https://www.econbiz.de/10012484346

Asset pricing with dynamically inconsistent agents

Khapko, Mariana - In: Finance and stochastics 27 (2023) 4, pp. 1017-1046

Persistent link: https://www.econbiz.de/10014426412

A time-inconsistent Dynkin game : from intra-personal to inter-personal equilibria

Huang, Yu-Jui; Zhou, Zhou - In: Finance and stochastics 26 (2022) 2, pp. 301-334

Persistent link: https://www.econbiz.de/10013197586

Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time

Zhou, Zhou; Zhuo, Jin - In: Insurance / Mathematics & economics 94 (2020), pp. 100-108

Persistent link: https://www.econbiz.de/10012419145

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80

Persistent link: https://www.econbiz.de/10012239478

Present-biased preferences and money demand

Millemaci, Emanuele; Waldmann, Robert - In: De economist : Netherlands economic review ; quarterly … 164 (2016) 2, pp. 187-207

Persistent link: https://www.econbiz.de/10011718553

Consumption-investment strategies with non-exponential discounting and logarithmic utility

Zhao, Qian; Shen, Yang; Wei, Jiaqin - In: European journal of operational research : EJOR 238 (2014) 3, pp. 824-835

Persistent link: https://www.econbiz.de/10010401598

On dividend strategies with non-exponential discounting

Zhao, Qian; Wei, Jiaqin; Wang, Rongming - In: Insurance / Mathematics & economics 58 (2014), pp. 1-13

Persistent link: https://www.econbiz.de/10010437647