A consumption–investment problem with heterogeneous discounting

de-Paz, Albert; Marín-Solano, Jesús; Navas, Jorge

doi:10.1016/j.mathsocsci.2013.05.001

Cited by 13 publications

(15 citation statements)

References 16 publications

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“…The present article provides an algorithmic framework-stochastic nonconstant heterogeneous quasi-hyperbolic (SNHQH) framework, including SNHQH discount function (1) , SNHQH-HJB (9) and behavior equation (14).…”

Section: Resultsmentioning

confidence: 99%

“…Reduction experiment is a commonly used validation. Specifically, the SNHQH discount function (1) is designed in such a way that, by controlling parameters, the SNHQH discount function (1) and its nonstandard HJB (8) can simultaneously reduce to those in many papers (e.g., de-Paz et al, 14 de-Paz et al, 15 Karp,11 Marín-Solano and Patxot, 1 Marín-Solano et al, 19 Marín-Solano and Navas, 12 Marín-Solano and Shevkoplyas, 5 Marín-Solano and Navas, 13 Peng and Hager, 20 Peng and Hager 21 ). Both these papers and the present article use a game-theoretic approach in the sense that no functional assumption has been imposed.…”

Section: Resultsmentioning

confidence: 99%

“…(ii) continuous-time nonstandard optimization can explore a multiself intrapersonal game (e.g., Ekeland and Pirvu, 8 Ekeland and Lazrak, 9 Ekeland et al, 4 Marín-Solano and Shevkoplyas, 5 Marín-Solano and Patxot, 1 Basak and Chabakauri, 3 Björk et al 10 ). (iii) discrete-time nonstandard optimization arms HJBs with parameters such that users can easily create visual graphs (e.g., Karp,11 Marín-Solano and Navas, 12 Marín-Solano and Navas, 13 de-Paz et al, 14 de-Paz et al 15 ). However, due to lack of explicit parameters in HJBs, most existing HJBs cannot capture present bias, nor can easily visualize the results.…”

Section: Literature On Nonstandard Hjbsmentioning

confidence: 99%

“…Being a powerful method to quantify selves' belief, behavioral dynamic programming (e.g., de-Paz et al, 14 de-Paz et al, 15 Caliendo, 16 Caliendo and Aadland 17 ) is performed in a series of stages. The first stage is the establishment of a dynamic programming equation (i.e., behavioral equation), representing the mutual initial plans of the naive and precommited decision-makers.…”

Section: Literature On Behavioral Dynamic Programmingmentioning

confidence: 99%

“…answers an open question. 31 Second, the nonstandard HJB (12), which produce sophisticated solution, outperforms the standard HJB (14), which produces precommitted and naive solutions.…”

Section: Experiments On Belief Paradigmsmentioning

confidence: 99%

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Preference heterogeneity and its equilibrium path

Peng

Kloeden

2021

Optim Control Appl Methods

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This article develops a general framework for preference heterogeneity. This framework includes a discount function, a nonstandard Hamilton -Jacobi-Bellman equation (HJB) and a behavioral equation. When controlling parameters, our discount function and its HJB can reduce to those in Marín-Solano and Patxot (2012) and among many others. In various fields, our framework can find equilibrium path in the coexistence of present bias, preference heterogeneity, and time-inconsistency. As an example, the present paper quantifies the impact of preference heterogeneity on household financial decision-making. It has been proven that our nonstandard HJB yields sophisticated solution (i.e., equilibrium path ), while our behavioral equation brings about naive solution and precommitted solution.

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Section: Resultsmentioning

confidence: 99%

Section: Resultsmentioning

confidence: 99%

Section: Literature On Nonstandard Hjbsmentioning

confidence: 99%

Section: Literature On Behavioral Dynamic Programmingmentioning

confidence: 99%

“…answers an open question. 31 Second, the nonstandard HJB (12), which produce sophisticated solution, outperforms the standard HJB (14), which produces precommitted and naive solutions.…”

Section: Experiments On Belief Paradigmsmentioning

confidence: 99%

See 3 more Smart Citations