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Optimal Consumption and Investment

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Time-Inconsistent Control Theory with Finance Applications

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Abstract

In this chapter we consider a standard consumption–investment problem. In this problem, an economic agent, taking prices as given, makes decisions about how much to consume and how much to save, as well as how to allocate their savings between the available assets. (For the reader without previous experience from economic theory, Appendix A provides the necessary background on arbitrage and portfolio theory.)

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References

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Björk, T., Khapko, M., Murgoci, A. (2021). Optimal Consumption and Investment. In: Time-Inconsistent Control Theory with Finance Applications. Springer Finance. Springer, Cham. https://doi.org/10.1007/978-3-030-81843-2_13

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