摘要翻译：
本文将经典的连续时间消费和投资组合规则模型(Merton1969，1971)推广到具有时间不一致偏好的决策者的框架中。对不同效用函数下的模型进行了求解，并对求解结果进行了比较。为了解决复杂智能体的问题，我们导出了一个修正的HJB（Hamilton-Jacobi-Bellman）方程。说明了对于HARA函数族中的CRRA函数（对数和潜在情况），最优投资组合规则如何不依赖于贴现率，但对于一般效用函数，如指数(CARA)效用函数，则不是这样。
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英文标题：
《Consumption and Portfolio Rules for Time-Inconsistent Investors》
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作者：
Jesus Marin-Solano, Jorge Navas
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最新提交年份：
2009
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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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英文摘要：
  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 solved for different utility functions for both, naive and sophisticated agents, and the results are compared. In order to solve the problem for sophisticated agents, we derive a modified HJB (Hamilton-Jacobi-Bellman) equation. It is illustrated how for CRRA functions within the family of HARA functions (logarithmic and potential cases) the optimal portfolio rule does not depend on the discount rate, but this is not the case for a general utility function, such as the exponential (CARA) utility function.
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PDF链接：
https://arxiv.org/pdf/0901.2484