1 citations · 2 across the 4 of their papers we have counts for
4 papers
Time consistent portfolio strategies for a general utility function
Oumar Mbodji
We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces…
Portfolio Time Consistency and Utility Weighted Discount Rates
Oumar Mbodji, Traian A. Pirvu
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inco…
Optimal Sharing Rule for a Household with a Portfolio Management Problem
Adrien Nguyen Huu, Oumar Mbodji, A Nguyen-Huu +1
We study the Merton problem of optimal consumption-investment for the case of two investors sharing a final wealth. The typical example would be a husband and wife sharing a portfo…
Time consistent portfolio management
Ivar Ekeland, Oumar Mbodji, Traian A. Pirvu
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural…