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[en] In this paper, we analyze the optimal consumption and investment problem of an agent by incorporating the stochastic hyperbolic preferences with constant relative risk aversion utility. Using the dynamic programming method, we deal with the optimization problem in a continuous-time model. And we provide the closed-form solutions of the optimization problem.
Journal
Advances in Difference Equations (Online); ISSN 1687-1847; 
; v. 2019(1); p. 1-7
; v. 2019(1); p. 1-7