{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/equilibrium-control-theory-for-kihlstrom","title":"Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time","arxiv_id":"2407.16525","date":"2024-07-23","proceeding":null,"authors":["Luca De Gennaro Aquino","Sascha Desmettre","Yevhen Havrylenko","Mogens Steffensen"],"abstract":"In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated, leads to dynamically inconsistent preferences. We address this issue in a game-theoretic sense by formalizing an equilibrium control theory for continuous-time Markov processes. In these terms, we describe the equilibrium strategy and value function as the solution of an extended Hamilton-Jacobi-Bellman system of partial differential equations. We verify that (the solution of) this system is a sufficient condition for an equilibrium and examine some of its novel features. A consumption-investment problem for an agent with CRRA-CES utility showcases our approach.","url_abs":"https://arxiv.org/abs/2407.16525v2","url_pdf":"https://arxiv.org/pdf/2407.16525v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"equilibrium-control-theory-for-kihlstrom","repo_url":"https://github.com/luca-dga/-","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"none","reach":{"status":"ok"}}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}