Optimal Consumption and Investment under Time-Varying Relative Risk Aversion
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Standard
Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. / Steffensen, Mogens.
I: Journal of Economic Dynamics and Control, Bind 35, Nr. 5, 2011, s. 659-667.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - Optimal Consumption and Investment under Time-Varying Relative Risk Aversion
AU - Steffensen, Mogens
PY - 2011
Y1 - 2011
N2 - We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion with respect to consumption varies with time, having in mind an investor with age-dependent risk aversion. This provides a new motivation for life-cycle investment rules. We study the optimal consumption and investment rules, in particular in the case where the relative risk aversion with respect to consumption is increasing with age.
AB - We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion with respect to consumption varies with time, having in mind an investor with age-dependent risk aversion. This provides a new motivation for life-cycle investment rules. We study the optimal consumption and investment rules, in particular in the case where the relative risk aversion with respect to consumption is increasing with age.
M3 - Journal article
VL - 35
SP - 659
EP - 667
JO - Journal of Economic Dynamics and Control
JF - Journal of Economic Dynamics and Control
SN - 0165-1889
IS - 5
ER -
ID: 40388712