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
- Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
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- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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- Markus K. Brunnermeier & Stefan Nagel, 2008. "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals," American Economic Review, American Economic Association, vol. 98(3), pages 713-736, June.
- Aase, Knut K., 2009. "The investment horizon problem: A resolution," Discussion Papers 2009/7, Norwegian School of Economics, Department of Business and Management Science.
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Cited by:
- 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,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(1), pages 195-209.
- 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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Keywords
Merton's problem Hamilton-Jacobi-Bellman equation Marginal indirect utility Life-cycle investment;Statistics
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