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

机译:消费 - 休闲投资策略在生命周期模型中具有时间不一致的偏好

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摘要

This paper investigates a consumption-leisure-investment problem, where the object of an economic agent is to maximize the expected value of discounted lifetime utility in a life-cycle model. The agent is allowed to have considerable labor flexibility and the date of retirement is fixed. To incorporate some well-documented behavioral features of human beings, we consider the situation where the discounting is non-exponential. This situation is far from trivial and renders the optimization problem of the agent to be a nonstandard one, namely, a time-inconsistent stochastic control problem. The extended HJB equation for the time-inconsistent control problem is given. A verification theorem is proved for a general discount function and a general utility function. Explicit-form solutions are presented for the logarithmic utility with exponential discounting, pseudo-exponential discounting and hyperbolic discounting.
机译:本文调查了消费 - 休闲投资问题,经济代理的目的是最大化生命周期模型中折扣终身效用的预期价值。允许代理商具有相当大的劳动力灵活性,退休日期是固定的。为了纳入一些人为人的行为特征,我们认为折扣是非指数的情况。这种情况远非琐碎,并且代理代理的优化问题是非标准的,即时间不一致的随机控制问题。给出了时间不一致控制问题的扩展HJB方程。验证定理被证明是一般折扣函数和常用效用功能。对于具有指数折扣,伪指数折扣和双曲线折扣的对数实用程序,提出了显式效用。

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