Optimal consumption and investment with Epstein-Zin recursive utility (Q503395)
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scientific article; zbMATH DE number 6674104
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal consumption and investment with Epstein-Zin recursive utility |
scientific article; zbMATH DE number 6674104 |
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Optimal consumption and investment with Epstein-Zin recursive utility (English)
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12 January 2017
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consumption-portfolio choice
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asset pricing
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stochastic differential utility
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incomplete markets
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fixed point approach
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forward-backward stochastic differntial equation (FBSDE)
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