Journal article
Investment and consumption without commitment
Abstract
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If the decision-maker at time t = 0 can commit her successors, she can choose the policy that is optimal from her point of view, and constrain the others to abide by it, although they do not see it as optimal for them. If there is no commitment mechanism, one must seek …
Authors
Ekeland I; Pirvu TA
Journal
Mathematics and Financial Economics, Vol. 2, No. 1, pp. 57–86
Publisher
Springer Nature
Publication Date
July 2008
DOI
10.1007/s11579-008-0014-6
ISSN
1862-9679