摘要翻译：
本文考虑Merton投资组合管理问题。我们关注时间的非指数折现，这导致决策者的时间不一致。继Ekeland和Pirvu2006之后，我们引入了均衡策略的概念，并用积分方程刻画了均衡策略。其主要思想是在此背景下提出价值函数。如果风险偏好是CRRA型的，则描述价值函数的积分方程存在一个解，从而导致一个均衡策略。这项工作是Ekeland和Pirvu2006的延伸。
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英文标题：
《On a Non-Standard Stochastic Control Problem》
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作者：
Ivar Ekeland and Traian A Pirvu
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker. Following Ekeland and Pirvu 2006, we introduce the notion of equilibrium policies and we characterize them by an integral equation. The main idea is to come up with the value function in this context. If risk preferences are of CRRA type, the integral equation which characterizes the value function is shown to have a solution which leads to an equilibrium policy. This work is an extension of Ekeland and Pirvu 2006.
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PDF链接：
https://arxiv.org/pdf/0806.4026