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 class of open-loop controls that are characterized, in...