1 citations · 2 across the 4 of their papers we have counts for
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q-fin.PM2026
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…
q-fin.PM2024★ 1 cited
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…
q-fin.PM2014
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…