2017
DOI: 10.1007/s00291-017-0502-2
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Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

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Cited by 6 publications
(4 citation statements)
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“…The primitive idea of this approach can be traced back to Strotz [39]. Related papers include Basak and Chabakauri [3], Björk et al [6], Björk et al [5], Li and Li [23] and Wu et al [46]. The equilibrium policy focuses on the local optimality while the pre-commitment policy emphasizes the global optimality which is criticized for the time-inconsistency in efficiency (see Cui [11]) because of its strong commitment.…”
Section: (Communicated By Phillip Yam)mentioning
confidence: 99%
“…The primitive idea of this approach can be traced back to Strotz [39]. Related papers include Basak and Chabakauri [3], Björk et al [6], Björk et al [5], Li and Li [23] and Wu et al [46]. The equilibrium policy focuses on the local optimality while the pre-commitment policy emphasizes the global optimality which is criticized for the time-inconsistency in efficiency (see Cui [11]) because of its strong commitment.…”
Section: (Communicated By Phillip Yam)mentioning
confidence: 99%
“…where +1 , +1 , and +1 are still given by (16). According to (11)- (15) and (26), and are given by (11) and (13), while , , and can be further rewritten as…”
Section: Special Casementioning
confidence: 99%
“…Further, Björk and Murgoci [19] and Björk et al [20] extend their own work in Björk and Murgoci [17] and analyze the game theory in detail under the discretetime setting and continuous-time setting, respectively. More results with this approach can be found in Wang and Forsyth [21], Li et al [22], Wei et al [23], Wu and Chen [24], Zhao et al [25], Wu et al [26], Zeng et al [27], and so on.…”
Section: Introductionmentioning
confidence: 99%
“…If this is not the case the problem is called time inconsistent (see for example Bensoussan et al (2014)). This can for example happen when considering stochastic interest rates like in Wu et al (2018).…”
Section: Mathematical Setting and Outline Of The Approachmentioning
confidence: 99%