Optimal consumption and investment under time-varying relative risk aversion
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- repec:kap:iaecre:v:15:y:2009:i:4:p:369-377 is not listed on IDEAS
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- Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
- Marekwica, Marcel & Schaefer, Alexander & Sebastian, Steffen, 2013. "Life cycle asset allocation in the presence of housing and tax-deferred investing," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1110-1125.
- Blake, David & Wright, Douglas & Zhang, Yumeng, 2013.
"Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion,"
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- Blake, David & Wright, Douglas & Zhang, Yumeng, 2011. "Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion," MPRA Paper 34278, University Library of Munich, Germany.
- Jang, Bong-Gyu & Lee, Ho-Seok, 2016. "Retirement with risk aversion change and borrowing constraints," Finance Research Letters, Elsevier, vol. 16(C), pages 112-124.
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KeywordsMerton's problem Hamilton-Jacobi-Bellman equation Marginal indirect utility Life-cycle investment;
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