Journal article
Time-Consistent Portfolio Management
Abstract
This paper considers the portfolio management problem for an investor with finite time horizon who is allowed to consume and take out life insurance. Natural assumptions, such as different discount rates for consumption and life insurance, lead to time inconsistency. This situation can also arise when the investor is in fact a group, the members of which have different utilities and/or different discount rates. As a consequence, the optimal …
Authors
Ekeland I; Mbodji O; Pirvu TA
Journal
SIAM Journal on Financial Mathematics, Vol. 3, No. 1, pp. 1–32
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Publication Date
January 2012
DOI
10.1137/100810034
ISSN
1945-497X