Optimal Sharing Rule for a Household with a Portfolio Management Problem
In: hal-00940233; ARXIV: 1402.1052; 10670/1.obrjt9;; (2019)
Online
report
Zugriff:
We study an intra-household decision process in the Merton financial portfolio problem.This writes as an optimal consumption-investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separated in multiple optimal single agent problems given an optimal sharing rule of the initial endowment. Consequently, an explicit closed form solution is obtained for each subproblem, and for the household as a whole. We show the impact of asymmetric risk aversion and market price of risk on the sharing rule in a specified setting with mean-reverting price of risk, with numerical illustration.
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Optimal Sharing Rule for a Household with a Portfolio Management Problem
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| Autor/in / Beteiligte Person: | Mbodji, Oumar ; Nguyen Huu, Adrien ; Pirvu, Traian A. ; Department of Mathematics and Statistics, McMaster University, Hamilton, Canada ; Centre d'Economie de l'Environnement - Montpellier - FRE2010 (CEE-M) ; Institut National de la Recherche Agronomique (INRA)-Université de Montpellier (UM)-Centre National de la Recherche Scientifique (CNRS)-Institut national d’études supérieures agronomiques de Montpellier (Montpellier SupAgro) |
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| Quelle: | hal-00940233; ARXIV: 1402.1052; 10670/1.obrjt9;; (2019) |
| Veröffentlichung: | HAL CCSD, 2019 |
| Medientyp: | report |
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