Equilibrium investment under dynamic preference uncertainty
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摘要
This paper develops a continuous-time portfolio choice framework where risk aversion evolves stochastically with an observable factor; terminal utilities across possible future risk-aversion states are first normalized via certainty equivalents and then aggregated, producing an intrinsically time-inconsistent objective that is solved by deriving an extended equilibrium HJB system and a coupled PIDE in a CRRA special case, with a semi-explicit decomposition of the equilibrium policy into myopic demand plus a novel preference-hedging term [page::0][page::2][page::20].
