Optimal Consumption and Investment under Time-Varying Relative Risk Aversion

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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

Steffensen, M 2011, 'Optimal Consumption and Investment under Time-Varying Relative Risk Aversion', Journal of Economic Dynamics and Control, bind 35, nr. 5, s. 659-667.

APA

Steffensen, M. (2011). Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. Journal of Economic Dynamics and Control, 35(5), 659-667.

Vancouver

Steffensen M. Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. Journal of Economic Dynamics and Control. 2011;35(5):659-667.

Author

Steffensen, Mogens. / Optimal Consumption and Investment under Time-Varying Relative Risk Aversion. I: Journal of Economic Dynamics and Control. 2011 ; Bind 35, Nr. 5. s. 659-667.

Bibtex

@article{96d3dac5b53a4243aa38c7c4bdbf9df5,
title = "Optimal Consumption and Investment under Time-Varying Relative Risk Aversion",
abstract = "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.",
author = "Mogens Steffensen",
year = "2011",
language = "English",
volume = "35",
pages = "659--667",
journal = "Journal of Economic Dynamics and Control",
issn = "0165-1889",
publisher = "Elsevier",
number = "5",

}

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