[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14403/jcms.2021.34.2.169

PORTFOLIO SELECTION WITH HYPERBOLIC DISCOUNTING AND INFLATION RISK

Lim, Byung Hwa (Department of Economics and Finance The University of Suwon)

Publication Information

Journal of the Chungcheong Mathematical Society / v.34, no.2, 2021 , pp. 169-180 More about this Journal

Abstract

This paper investigates the time-inconsistent agent's optimal consumption and investment problem under inflation risk. The agents' discount factor is governed by hyperbolic discounting, which has a random time to change. We impose the inflation risk which plays a crucial role in long-term financial planning. We derive the semi-analytic solution to the problem of sophisticated agents when the time horizon is finite.

Keywords

Portfolio selection; time-inconsistency; hyperbolic discounting; inflation risk; integro-differential equation;

Citations & Related Records

Reference

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