ROBUST OPTIMAL CONSUMPTION-INVESTMENT STRATEGY WITH NON-EXPONENTIAL DISCOUNTING

摘要

This paper extends the existing dynamic consumption-investment problem to the case with more general discount functions under the robust framework. The decision-maker is ambiguity-averse and invests her wealth in a risk-free asset and a risky asset. Since non-exponential discounting is considered in our model, our optimization problem is time inconsistent. By solving the extended Hamilton-Jacobi-Bellman equations, the corresponding optimal consumption-investment strategies for sophisticated and naive investors under power and logarithmic utility functions are derived explicitly. Our model and results extend some existing ones and derive some interesting phenomena.