Time-inconsistent consumption-investment problems in incomplete markets under general discount functions

Yushi Hamaguchi

Papers from arXiv.org

Abstract: In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop equilibrium consumption-investment pair in terms of a coupled forward-backward stochastic differential equation. Moreover, we prove the uniqueness of the open-loop equilibrium pair by showing that the original time-inconsistent problem is equivalent to an associated time-consistent one.

Date: 2019-12, Revised 2021-03
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (6)

Published in SIAM J. Control Optim., 59(3), pp: 2121--2146 (2021)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1912.01281

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