173
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model

&
Pages 6057-6079 | Received 13 Sep 2018, Accepted 28 May 2019, Published online: 13 Jun 2019

References

  • Ainslie, G. W. 1992. Picoeconomics. Cambridge: Cambridge University Press
  • Barro, R. J. 1999. Ramsey meets Laibson in the neoclassical growth model. Quarterly Journal of Economics 114 (4):1125–52. doi: 10.1162/003355399556232.
  • Bensoussan, A., B. Jang, and S. Park. 2016. Unemployment risks and optimal retirement in an incomplete market. Operations Research 64 (4):1015–32. doi: 10.1287/opre.2016.1503.
  • Björk, T., and A. Murgoci. 2014. A theory of Markovian time-inconsistent stochastic control in discrete time. Finance and Stochastics 18 (3):545–92. doi: 10.1007/s00780-014-0234-y.
  • Björk, T., M. Khapko, and A. Murgoci. 2017. On time-inconsistent stochastic control in continuous time. Finance and Stochastics 21 (2):331–60. doi: 10.1007/s00780-017-0327-5.
  • Björk, T., A. Murgoci, and X. Y. Zhou. 2014. Mean-variance portfolio optimization with state-dependent risk aversion. Mathematical Finance 24 (1):1–24.
  • Bodie, Z., R. C. Merton, and W. F. Samuelson. 1992. Labor supply flexibility and portfolio choice in a life cycle model. Journal of Economic Dynamics and Control 16 (3–4):427–49. doi: 10.1016/0165-1889(92)90044-F.
  • Bodie, Z., J. B. Detemple, S. Otruba, and S. Walter. 2004. Optimal consumption-portfolio choices and retirement planning. Journal of Economic Dynamics and Control 28 (6):1115–48. doi: 10.1016/S0165-1889(03)00068-X.
  • Choi, K. J., and G. Shim. 2006. Disutility, optimal retirement, and portfolio selection. Mathematical Finance 16:443–67. doi: 10.1111/j.1467-9965.2006.00278.x.
  • Choi, K. J., G. Shim, and Y. H. Shin. 2008. Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Mathematical Finance 18 (3):445–72. doi: 10.1111/j.1467-9965.2008.00341.x.
  • Dybvig, P. H., and H. Liu. 2010. Lifetime consumption and investment: Retirement and constrained borrowing. Journal of Economic Theory 145 (3):885–907. doi: 10.1016/j.jet.2009.08.003.
  • Ekeland, I., and A. Lazrak. 2006. Being serious about non-commitment: subgame perfect equilibrium in continuous time [working paper]. arXiv:math/0604264 [math.OC].
  • Ekeland, I., and T. A. Pirvu. 2008. Investment and consumption without commitment. Mathematics and Financial Economics 2 (1):57–86. doi: 10.1007/s11579-008-0014-6.
  • Ekeland, I., O. Mbodji, and T. A. Pirvu. 2012. Time-consistent portfolio management. SIAM Journal on Financial Mathematics 3 (1):1–32. doi: 10.1137/100810034.
  • Farhi, E., and S. Panageas. 2007. Saving and investing for early retirement: A theoretical analysis. The Journal of Financial Economics 83 (1):87–121. doi: 10.1016/j.jfineco.2005.10.004.
  • Kwak, M., Y. H. Shin, and U. J. Choi. 2009. Optimal portfolio, consumption and retirement decision under a preference change. Journal of Mathematical Analysis and Applications 355 (2):527–40. doi: 10.1016/j.jmaa.2009.02.004.
  • Laibson, D. 1997. Golden eggs and hyperbolic discounting. Quarterly Journal of Economics 112 (2):443–77.
  • Loewenstein, G., and D. Prelec. 1992. Anomalies in intertemporal choice: evidence and an interpretation. Quarterly Journal of Economics 57:573–98.
  • Marín-Solano, J., and J. Navas. 2010. Consumption and portfolio rules for time-inconsistent investors. European Journal of Operational Research 201 (3):860–72. doi: 10.1016/j.ejor.2009.04.005.
  • Øksendal, B. 2003. Stochastic differential equations: An introduction with applications. New York: Springer,
  • Phelps, E. S., and R. A. Pollak. 1968. On second-best national saving and game-equilibrium growth. Review of Economic Studies 35 (2):185–99.
  • Strotz, R. 1955. Myopia and inconsistency in dynamic utility maximization. Review of Economic Studies 23 (3):165–80.
  • Thaler, R. 1981. Some empirical evidence on dynamic inconsistency. Economics Letters 8 (3):201–7. doi: 10.1016/0165-1765(81)90067-7.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.