Optimal sharing rule for a household with a portfolio management problem
Adrien Nguyen-Huu
- Fonction : Auteur
- PersonId : 2654
- IdHAL : adrien-nguyen-huu
- ORCID : 0000-0002-2602-118X
- IdRef : 164508821
Résumé
We study an intra-household decision process in the Merton financial portfolio problem. This writes as an optimal consumption-investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separated in multiple optimal single agent problems given an optimal sharing rule of the initial endowment. Consequently, an explicit closed form solution is obtained for each subproblem, and for the household as a whole. We show the impact of asymmetric risk aversion and market price of risk on the sharing rule in a specified setting with mean-reverting price of risk, with numerical illustration
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Optimal sharing rule for a household with a portfolio management problem
|
Résumé |
en
We study an intra-household decision process in the Merton financial portfolio problem. This writes as an optimal consumption-investment problem in finite horizon for the case of two separate consumption streams and a shared final wealth, in a linear social welfare setting. We show that the aggregate problem for multiple agents can be linearly separated in multiple optimal single agent problems given an optimal sharing rule of the initial endowment. Consequently, an explicit closed form solution is obtained for each subproblem, and for the household as a whole. We show the impact of asymmetric risk aversion and market price of risk on the sharing rule in a specified setting with mean-reverting price of risk, with numerical illustration
|
Auteur(s) |
Oumar Mbodji
1
, Adrien Nguyen-Huu
2
, T.A. Pirvu
1
1
Department of Mathematics and Statistics, McMaster University, Hamilton, Canada
( 408230 )
- Canada
2
CEE-M -
Centre d'Economie de l'Environnement - Montpellier - FRE2010
( 532853 )
- 2 Place Viala
INRA - MSA
34060 Montpellier Cedex 2
- France
|
Langue du document |
Anglais
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2019
|
Date de publication électronique |
2019-07-09
|
Volume |
101
|
Page/Identifiant |
88-98
|
Nom de la revue |
|
Domaine(s) |
|
Financement |
|
arXiv Id | 1402.1052 |
DOI | 10.1016/j.mathsocsci.2019.06.003 |
UT key WOS | 000487568300011 |
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