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