Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions
研究了连续时间下带有准双曲贴现的Epstein-Zin递归效用，应用于Merton最优消费-投资问题，发现现值偏好导致显著过度消费，且当跨期替代弹性大于1时会出现预先准备行为。
This paper examines an Epstein–Zin recursive utility with quasi-hyperbolic discounting in continuous time. I directly define the utility process supporting the Hamilton–Jacobi–Bellman (HJB) equation in the literature and consider Merton's optimal consumption–investment problem for application. I show that a solution to the HJB equation is the value function. The numerical and mathematical analyses show that unlike in the constant relative risk aversion utility, present bias in the Epstein–Zin utility causes economically significant overconsumption, maintaining a plausible attitude toward risks. Additionally, the sophisticated agent's preproperation occurs if and only if the elasticity of intertemporal substitution is larger than one.