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2019
- handle: 10670/1.jqswwb
- hal: hal-00940233
- ARXIV: 1402.1052
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info:eu-repo/semantics/altIdentifier/arxiv/1402.1052
info:eu-repo/semantics/OpenAccess
Mots-clés
market price of risk martingale techniques martingale tech-niques JEL: G11 (primary) optimal consumption time inconsistency C61 (secondary) portfolio management Portfolio optimization household decision G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic AnalysisSujets proches
Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management PortfolioCiter ce document
Oumar Mbodji et al., « Optimal Sharing Rule for a Household with a Portfolio Management Problem », HAL-SHS : économie et finance, ID : 10670/1.jqswwb
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Résumé
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.