Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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CONSUMPTION AND INVESTMENT STRATEGIES WITH HYPERBOLIC DISCOUNTING AND LABOR INCOME

  • Lim, Byung Hwa (Department of Economics and Finance, The University of Suwon)
  • Received : 2018.11.05
  • Accepted : 2019.04.13
  • Published : 2019.05.15
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Abstract

We investigate the optimal consumption and investment decision problem of an agent whose time preference is time-inconsistent. Specifically, for a time-separable utility function, the agent's subjective discount factor is supposed to be changed randomly in the future. We provide closed-form solutions in the presence of income process. The method can be extended into the case with a stochastic income process.

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References

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