Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model

DOI10.1080/03610926.2019.1626426OpenAlexW2949217467WikidataQ127702199 ScholiaQ127702199MaRDI QIDQ5078086

Qian Zhao, Tak Kuen Siu

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1626426

zbMATH Keywords

equilibrium strategieslife-cycle modelnon-exponential discountinglabor flexibilityextended HJB equationtime-inconsistence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• On time-inconsistent stochastic control in continuous time
• Investment and consumption without commitment
• Optimal consumption-portfolio choices and retirement planning
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimal portfolio, consumption and retirement decision under a preference change
• Consumption and portfolio rules for time-inconsistent investors
• Unemployment Risks and Optimal Retirement in an Incomplete Market
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Golden Eggs and Hyperbolic Discounting
• Time-Consistent Portfolio Management
• Ramsey Meets Laibson in the Neoclassical Growth Model
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
• Stochastic differential equations. An introduction with applications.

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