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Optimal sharing rule for a household with a...
Journal article

Optimal sharing rule for a household with a portfolio management problem

Abstract

We study an intra-household decision process in the Merton financial portfolio problem. This writes as an optimal consumption–investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separated in multiple optimal single agent problems given an optimal sharing rule of the initial …

Authors

Mbodji OS; Nguyen-Huu A; Pirvu TA

Journal

Mathematical Social Sciences, Vol. 101, , pp. 88–98

Publisher

Elsevier

Publication Date

September 2019

DOI

10.1016/j.mathsocsci.2019.06.003

ISSN

0165-4896