Optimal consumption and investment under time-varying relative risk aversion

DOI10.1016/j.jedc.2010.12.007zbMath1209.91153OpenAlexW3125287526MaRDI QIDQ633319

Mogens Steffensen

Publication date: 31 March 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.007

zbMATH Keywords

Hamilton-Jacobi-Bellman equationlife-cycle investmentmarginal indirect utilityMerton's problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences, Utilitarian versus neutralitarian design of endowment fund policies, Does relative risk aversion vary with wealth? Evidence from households portfolio choice data, Possibilistic individual multi-period consumption-investment models, Household investment-consumption-insurance policies under the age-dependent risk preferences, Equilibrium investment with random risk aversion, Optimal consumption, investment, and insurance under state-dependent risk aversion, Optimal portfolio choice with wash sale constraints, Life cycle asset allocation in the presence of housing and tax-deferred investing, Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems, Time-Varying Risk Aversion and Dynamic Portfolio Allocation

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• The investment horizon problem: a possible resolution
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS