Robust optimal consumption-investment strategy with non-exponential discounting
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DOI: 10.3934/jimo.2018147
Abstract: 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… read more here.
Keywords: optimal consumption; exponential discounting; non exponential; consumption ... See more keywords