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Schizophrenic Representative Investors
complexity representative investor deterministic behavioural
2010/10/20
Representative investors whose behaviour is modelled by a deterministic finite automaton generate complexity both in the time series of each asset and in the cross-sectional correlation when the rule ...
Consumption and Portfolio Rules for Time-Inconsistent Investors
Finance Consumption and portfolio rules Non-constant discounting
2010/10/29
This paper extends the classical consumption and portfolio rules model in continuous time (Merton 1969, 1971) to the framework of decision-makers with time-inconsistent preferences. The model is solve...