158 citations · 415 across the 19 of their papers we have counts for
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q-fin.PM2008★ 4 cited
On a Non-Standard Stochastic Control Problem
Ivar Ekeland, Traian A Pirvu
This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker…
q-fin.PM2007★ 5 cited
Investment and Consumption without Commitment
Ivar Ekeland, Traian A. Pirvu
In this paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting. This gives rise to time-inconsistency of the decision-maker. If…