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ArticleInvestment and consumption without commitment

Ivar Ekeland2008

Article2008

Investment and consumption without commitment

Ivar Ekeland · Traian Adrian Pirvu

285 citations·0/0 files stored·Mathematics and Financial Economics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1997Golden Eggs and Hyperbolic Discounting 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1973Myopia and Inconsistency in Dynamic Utility Maximization 1992Anomalies in Intertemporal Choice: Evidence and an Interpretation 1999Stochastic controls : Hamiltonian systems and HJB equations 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1999Stochastic Controls

Cited by

2012Time-Inconsistent Stochastic Linear--Quadratic Control 2014A theory of Markovian time-inconsistent stochastic control in discrete time 2017Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium 2012Time-inconsistent optimal control problems and the equilibrium HJB equation 2012Time-Consistent Portfolio Management 2015Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions

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Year2008

Typearticle

Published2008-07-01

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations285

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-008-0014-6

openalex_workW2138562182

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2012Time-consistent mean-variance portfolio selection in discrete and continuous time

2009Consumption and portfolio rules for time-inconsistent investors