Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target
AbstractIn this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our optimal control. We firstly derive a sufficient equilibrium condition for second-order continuously differentiable utility funtions. Then we use power functions of order two, three and four in our problem and find the respective condtions for obtaining an equilibrium for our different problems. In the last part of the paper, we consider using another definition of equilibrium to solve our problem when the utility function that we use in our problem is the negative part of x and also find the condtions for obtaining an equilibrium.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1402.6760.
Date of creation: Feb 2014
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-NEU-2014-03-08 (Neuroeconomics)
- NEP-UPT-2014-03-08 (Utility Models & Prospect Theory)
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"Dynamic Mean-Variance Asset Allocation,"
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