Optimal Sharing Rule for a Household with a Portfolio Management Problem

We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfolio looking to optimize the expected utility of consumption and final wealth. Each agent has different utility function...

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Veröffentlicht in:	arXiv.org 2019-01
Hauptverfasser:	Adrien Nguyen Huu, Mbodji, Oumar, Nguyen-Huu, A, Pirvu, Traian A
Format:	Artikel
Sprache:	eng
Schlagworte:	Discount rates Economic models Expected utility Investment Markets Optimization Utilities
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