Zou, Ziran; Chen, Shou; Wedge, Lei - In: Journal of Mathematical Economics 52 (2014) C, pp. 70-80
We study finite horizon consumption and portfolio decisions of time-inconsistent individuals by incorporating the stochastic hyperbolic preferences of Harris and Laibson (2013) into the classical model of Merton (1969, 1971) with constant relative risk aversion (CRRA). We obtain closed-form...