An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
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.
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