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• W4382499393 abstract "We solve the problem of an investor who maximizes utility but faces random preferences. We propose a problem formulation based on expected certainty equivalents. We tackle the time-consistency issues arising from that formulation by applying the equilibrium theory approach. To this end, we provide the proper definitions and prove a rigorous verification theorem. We complete the calculations for the cases of power and exponential utility. For power utility, we illustrate in a numerical example that the equilibrium stock proportion is independent of wealth, but decreasing in time, which we also supplement by a theoretical discussion. For exponential utility, the usual constant absolute risk aversion is replaced by its expectation." @default.
• W4382499393 created "2023-06-30" @default.
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• W4382499393 date "2023-05-03" @default.
• W4382499393 modified "2023-09-27" @default.
• W4382499393 title "Equilibrium investment with random risk aversion" @default.
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• W4382499393 doi "https://doi.org/10.1111/mafi.12394" @default.
• W4382499393 hasPublicationYear "2023" @default.
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