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

DOI10.1016/j.ejor.2014.04.034zbMath1338.91139OpenAlexW2014640856MaRDI QIDQ296894

Yang Shen, Jiaqin Wei, Qian Zhao

Publication date: 23 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.04.034

zbMATH Keywords

BSDEsconsumption-investment problemmulti-person differential gamenon-exponential discountingtime-inconsistency

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Differential games (aspects of game theory) (91A23) Economic growth models (91B62) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

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