Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
Huiling Wu, Chengguo Weng, Yan Zeng
| Year of publication: |
March 2018
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|---|---|
| Authors: | Wu, Huiling ; Weng, Chengguo ; Zeng, Yan |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 40.2018, 2, p. 541-582
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| Subject: | Nash equilibrium | Stochastic discount rate | Investment-consumption | Regime switching | Portfolio-Management | Portfolio selection | Diskontierung | Discounting | Nutzenfunktion | Utility function | Stochastischer Prozess | Stochastic process | Konsumtheorie | Consumption theory | CAPM | Intertemporale Entscheidung | Intertemporal choice | Nash-Gleichgewicht |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00291-017-0502-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011868232