2024/12/03 by Liang, Zongxia, Wang, Sheng, Xia, Jianming · 2 citations
#91B70 #91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
paper · doi:10.48550/arxiv.2412.02446
This paper discusses a nonlinear integral equation arising from portfolio selection with a class of time-inconsistent preferences. We propose a unified framework requiring minimal assumptions, such as right-continuity of market coefficients and square-integrability of the market price of risk. Our main contribution is proving the existence and uniqueness of the square-integrable solution for the integral equation under mild conditions. Illustrative applications include the mean-variance portfolio selection and the utility maximization with random risk aversion.