Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions.
Huiling WuChengguo WengYan ZengPublished in: OR Spectr. (2018)
Keyphrases
- utility function
- decision makers
- risk aversion
- decision making
- social welfare
- market equilibrium
- multi attribute
- decision problems
- decision theory
- expected utility
- risk averse
- risk sensitive
- preference elicitation
- decision model
- probability distribution
- risk neutral
- optimization criterion
- portfolio selection
- multi criteria
- game theory
- monte carlo
- quasi linear
- neural network
- portfolio optimization
- portfolio management
- bargaining solution
- data mining